THE PROBABILITY OF RUIN FOR THE INVERSE GAUSSIAN AND RELATED PROCESSES

被引：16
作者：
DUFRESNE, F
GERBER, HU
机构：
[1] UNIV LAUSANNE,ECOLE HEC,CH-1015 LAUSANNE,SWITZERLAND
[2] UNIV LAVAL,QUEBEC CITY G1K 7P4,QUEBEC,CANADA
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 12卷 / 01期
关键词：
PROBABILITY OF RUIN; INVERSE GAUSSIAN PROCESS; GAMMA PROCESS; ADJUSTMENT COEFFICIENT;
D O I：
10.1016/0167-6687(93)90995-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider a family of aggregate claims processes that contains the gamma process, the Inverse Gaussian process, and the compound Poisson process with gamma or degenerate claim amount distribution as special cases. This is a one-parameter family of stochastic processes. It is shown how the probability of ruin can be calculated for this family. Extensive numerical results are given and the role of the parameter is discussed.
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页码：9 / 22
页数：14
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