On the probability of ruin for infinitely divisible claim amount distributions

DOI10.1016/0167-6687(92)90053-EzbMath0781.62162OpenAlexW2001029673MaRDI QIDQ1205684

Hans U. Gerber

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90053-e

zbMATH Keywords

inverse Gaussian distributiongamma distributiongamma processprobability of ruinclaim amount distributionstop-losstwo parameter family of infinitely divisible distributions

Mathematics Subject Classification ID

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

Related Items (5)

The probability of ruin for the inverse Gaussian and related processes ⋮ First-exit times of an inverse Gaussian process ⋮ Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications ⋮ Evaluating Scale Functions of Spectrally Negative Lévy Processes ⋮ Tempered Mittag-Leffler Lévy processes

Cites Work

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• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• Bounds on stop-loss premiums and ruin probabilities
• Stop-loss order, unequal means, and more dangerous distributions
• Ordering of risks and ruin probabilities

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