Finite time ruin probabilities for tempered stable insurance risk processes
نویسندگان
چکیده
منابع مشابه
Finite time ruin probabilities for tempered stable insurance risk processes
We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2013
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2013.07.010