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Document Details : Title: Risk Theory with the Gamma Process Author(s): DUFRESNE, François , GERBER, Hans U. , SHIU, Elias S.W. Journal: ASTIN Bulletin Volume: 21 Issue: 2 Date: November 1991 Pages: 177-192 DOI: 10.2143/AST.21.2.2005362 Abstract : The aggregate claims process is modelled by a process with independent, stationary and nonnegative increments. Such a process is either compound Poisson or else a process with an infinite number of claims in each time interval, for example a gamma process. It is shown how classical risk theory, and in particular ruin theory, can be adapted to this model. A detailed analysis is given for the gamma process, for which tabulated values of the probability of ruin are provided. |
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