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.
KEYWORDS gamma process; finite time; survival probability.
Volume
23:2
Page
259-272
Year
1994
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Loss Distributions
Financial and Statistical Methods
Statistical Models and Methods
Actuarial Applications and Methodologies
Valuation
Publications
ASTIN Bulletin
