Finite time ruin probabilities for tempered stable insurance risk processes

DOI10.1016/j.insmatheco.2013.07.010zbMath1304.91106arXiv1302.4795OpenAlexW2161617572MaRDI QIDQ2513603

Philip S. Griffin, Dale O. Roberts, Ross A. Maller

Publication date: 28 January 2015

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

Full work available at URL: https://arxiv.org/abs/1302.4795

zbMATH Keywords

Lévy processfluctuation theoryinsurance riskruin probabilitiesinverse Gaussiantempered stableconvolution equivalent

Mathematics Subject Classification ID

Related Items (5)

Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Modelling distributed decision-making in command and control using stochastic network synchronisation ⋮ Domains of attraction for positive and discrete tempered stable distributions ⋮ Multivariate tempered stable random fields ⋮ Optimal sequential testing for an inverse Gaussian process

Uses Software

• Mathematica

Cites Work

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