Gamma Processes and Finite Time Survival Probabilities

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<jats:title>Abstract</jats:title><jats:p>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.</jats:p>

Journal

  • ASTIN Bulletin

    ASTIN Bulletin 23 (2), 259-272, 1993-11

    Cambridge University Press (CUP)

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