Gamma Processes and Finite Time Survival Probabilities
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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In this paper we give an introduction to collective risk theory in its simplest form. Our aims are to indicate how some basic facts may be obtained by martingale methods and to point out some open problems
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We analyze the dynamics of random walks in which the jumping probabilities are periodic time-dependent functions. In particular, we determine the survival probability of biased walkers who are drifted towards an absorbing boundary. The typical lifetime of the walkers is found to decrease with an increment in the oscillation amplitude of the jumping probabilities. We discuss the applicability of...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1993
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.23.2.2005094