On the computation of the aggregate claim distribution when individual claims are inverse Gaussian

DOI10.1016/0167-6687(89)90061-9zbMath0686.62091OpenAlexW2074306919WikidataQ126844408 ScholiaQ126844408MaRDI QIDQ1262681

Hélène Crépeau, Michel Gendron

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90061-9

zbMATH Keywords

approximationsinverse Gaussianexact values

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

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COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES ⋮ Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates ⋮ Approximations for stop-loss reinsurance premiums ⋮ On the computation of aggregate claims distributions: some new approximations

Cites Work

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• Statistical Properties of Inverse Gaussian Distributions. I
• A property of the generalized inverse Gaussian distribution with some applications
• The numerical evaluation of the aggregate claim density function via integral equations
• Simplified bounds on the tails of compound distributions
• On the Inverse Gaussian Distribution Function