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Document Details :

Title: Gamma Processes and Finite Time Survival Probabilities
Author(s): DICKSON, David C.M. , WATERS, Howard R.
Journal: ASTIN Bulletin
Volume: 23    Issue: 2   Date: November 1993   
Pages: 259-272
DOI: 10.2143/AST.23.2.2005094

Abstract :
In this paper we derive formulae for finite time survival probabilities when the aggregate claims process is a Gamma process. We illustrate how a compound Poisson process can be approximated by a Gamma process and by a process defined as a translated Gamma process. We also show how survival probabilities for a compound Poisson process can be approximated by those for a Gamma process or a translated Gamma process.