Mixed Poisson processes and the probability of ruin

DOI10.1016/0167-6687(84)90061-1MaRDI QIDQ794383zbMATH OpenOpenAlexFDO

Authors Hilary L. Seal, H. U. Gerber

Publication date 1984

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(84)90061-1

zbMATH Keywords

distribution function of aggregate claimsmixed Poisson processprobability of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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(13)

• Conjugate processes and the simulation of ruin problems
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• The probability of ruin for the inverse Gaussian and related processes
• On properties of the phase-type mixed Poisson process and its applications to reliability shock modeling
• The ruin probability in risk process
• Mixed Poisson process with Pareto mixing variable and its risk applications
• The ruin problem for mixed poisson risk processes
• On Posterior Probabilities and Moments in Mixed Poisson Processes
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• Modeling of claim severity through the mixture of exponential distribution and computation of its probability of ultimate ruin
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• Ruin problem for a generalized Poisson process with reflection

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