説明
<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>
収録刊行物
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- ASTIN Bulletin
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ASTIN Bulletin 23 (2), 259-272, 1993-11
Cambridge University Press (CUP)
