Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Finite time ruin probabilities for tempered stable insurance risk processes

Simple item page
dc.contributor.authorGriffin, Philip S
dc.contributor.authorMaller, Ross
dc.contributor.authorRoberts, Dale
dc.date.accessioned2015-12-13T22:27:05Z
dc.date.issued2013
dc.date.updated2016-02-24T09:17:47Z
dc.description.abstractWe 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
dc.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/1885/73783
dc.publisherElsevier
dc.sourceInsurance; Mathematics and Economics
dc.subjectKeywords: Convolution equivalent; Fluctuation theory; Insurance risk; Inverse Gaussian; Lévy process; Ruin probabilities; Tempered stable
dc.titleFinite time ruin probabilities for tempered stable insurance risk processes
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage489
local.bibliographicCitation.startpage478
local.contributor.affiliationGriffin, Philip S, Syracuse University
local.contributor.affiliationMaller, Ross, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationRoberts, Dale, College of Business and Economics, ANU
local.contributor.authoruidMaller, Ross, u4061848
local.contributor.authoruidRoberts, Dale, u4999417
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010400 - STATISTICS
local.identifier.ariespublicationf5625xPUB3828
local.identifier.citationvolume53
local.identifier.doi10.1016/j.insmatheco.2013.07.010
local.identifier.scopusID2-s2.0-84883256827
local.identifier.thomsonID000325197000015
local.type.statusPublished Version

Downloads

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
01_Griffin_Finite_time_ruin_probabilities_2013.pdf
Size:
1.3 MB
Format:
Adobe Portable Document Format
Download

Collections

ANU Research Publications

DSpace software copyright © 2002-2026 LYRASIS