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Finite time ruin probabilities for tempered stable insurance risk processes

Griffin, Philip S; Maller, Ross; Roberts, Dale


We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: Insurance; Mathematics and Economics
DOI: 10.1016/j.insmatheco.2013.07.010


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