Risk Theory with the Gamma Process

François Dufresne; Hans U Gerber; Elias S. W Shiu

doi:10.2143/AST.21.2.2005362

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Risk Theory with the Gamma Process

François Dufresne, Hans U Gerber and Elias S. W Shiu

ASTIN bulletin, Vol.21(2), pp.177-192

11/1991

DOI: 10.2143/AST.21.2.2005362

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Abstract

The 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.

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Details

Title: Subtitle: Risk Theory with the Gamma Process
Creators: François Dufresne - Laval University, University of Lausanne and University of Manitoba
Hans U Gerber - Laval University, University of Lausanne and University of Manitoba
Elias S. W Shiu - Laval University, University of Lausanne and University of Manitoba
Resource Type: Journal article
Publication Details: ASTIN bulletin, Vol.21(2), pp.177-192
Publisher: Cambridge University Press; Cambridge, UK
DOI: 10.2143/AST.21.2.2005362
ISSN: 0515-0361
eISSN: 1783-1350
Number of pages: 16
Language: English
Date published: 11/1991
Academic Unit: Statistics and Actuarial Science
Record Identifier: 9983986096902771

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