The probability of ruin for the inverse Gaussian and related processes

DOI10.1016/0167-6687(93)90995-2zbMath0768.62097OpenAlexW1996533630MaRDI QIDQ2366048

François Dufresne, Hans U. Gerber

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90995-2

zbMATH Keywords

compound Poisson processgamma processadjustment coefficientinverse Gaussian processprobability of ruinextensive numerical resultsaggregate claims processesone-parameter family of stochastic processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical tables (62Q05)

Related Items (15)

Chaotic and predictable representations for Lévy processes. ⋮ On optimal periodic dividend strategies for Lévy risk processes ⋮ The probability and severity of ruin for combinations of exponential claim amount distributions and their translations ⋮ First-exit times of an inverse Gaussian process ⋮ Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications ⋮ An optimal dividends problem with transaction costs for spectrally negative Lévy processes ⋮ Flexible supply contracts under price uncertainty ⋮ From the generalized gamma to the generalized negative binomial distribution ⋮ On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes ⋮ An application in stochastics of the Laguerre-type polynomials ⋮ Optimal sequential testing for an inverse Gaussian process ⋮ An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density ⋮ Evaluating Scale Functions of Spectrally Negative Lévy Processes ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Tempered Mittag-Leffler Lévy processes

Cites Work

• On the probability of ruin for infinitely divisible claim amount distributions
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