Author:
Dufresne François,Gerber Hans U.,Shiu Elias S. W.
Abstract
AbstractThe aggregate claims process is modelled by a process with independent, stationary and nonnegative increments. Such a process is either compound Poisson or else a process with an infinite number of claims in each time interval, for example a gamma process. It is shown how classical risk theory, and in particular ruin theory, can be adapted to this model. A detailed analysis is given for the gamma process, for which tabulated values of the probability of ruin are provided.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference13 articles.
1. On the Computation of the Aggregate Claim Distribution When Individual Claims Are Inverse Gaussian;Gendron;Insurance: Mathematics and Economics,1989
2. The Inverse Gaussian Distribution and Its Statistical Application — A Review;Folks;Journal of the Royal Statistical Society,1978
3. Three Methods to Calculate the Probability of Ruin
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