Risk Theory with the Generalized Inverse Gaussian Lévy Process

DOI10.2143/AST.34.2.505148zbMath1102.60043MaRDI QIDQ5490570

Manuel Morales

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

Lévy processgamma processrisk theoryruin probabilitiesgeneralized inverse Gaussian process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (8)

Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ Saddlepoint approximation for the generalized inverse Gaussian Lévy process ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ On a generalization of the Gerber-Shiu function to path-dependent penalties ⋮ On the expected discounted penalty function for a perturbed risk process driven by a subordinator ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes ⋮ On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process

Cites Work

• Unnamed Item
• Aspects of risk theory
• Simple approximations of ruin probabilities
• A risk model driven by Lévy processes

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