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

mixed Poisson processprobability of ruindistribution function of aggregate claims

Mathematics Subject Classification ID

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

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• Conjugate processes and the simulation of ruin problems
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• Mixed Poisson process with Pareto mixing variable and its risk applications
• Ruin problem for a generalized Poisson process with reflection
• Modeling of claim severity through the mixture of exponential distribution and computation of its probability of ultimate ruin
• The ruin probability in risk process
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