A property of the generalized inverse Gaussian distribution with some applications

DOI10.2307/3213890zbMath0536.60022OpenAlexW4254669317MaRDI QIDQ3321166

Paul Embrechts

Publication date: 1983

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213890

zbMATH Keywords

renewal theoryruin probabilityBessel functionsubexponentialityrisk theorygeneralized inverse Gaussianasymptotic convolution property

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Renewal theory (60K05)

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