Abstract
An asymptotic convolution property for the generalized inverse Gaussian distribution with λ < 0 is proved. This result is applied to calculate the probability of ruin in the general risk model when these distributions are used to model claim sizes. Some related applications are discussed.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
74 articles.
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