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A property of the generalized inverse Gaussian distribution with some applications

Published online by Cambridge University Press:  14 July 2016

Paul Embrechts
Paul Embrechts*
Affiliation:
University of Leuven
*
∗ Postal address: Departement Wiskunde K. U. Leuven, Celestijnenlaan 200B, B-3030 Leuven (Heverlee), Belgium.
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Abstract

An asymptotic convolution property for the generalized inverse Gaussian distribution with λ < 0 is proved. This result is applied to calculate the probability of ruin in the general risk model when these distributions are used to model claim sizes. Some related applications are discussed.

Keywords

GENERALIZED INVERSE GAUSSIANRISK THEORYRUIN PROBABILITYSUBEXPONENTIALITY
Type
Research Papers
Information
Journal of Applied Probability , Volume 20 , Issue 3 , September 1983 , pp. 537 - 544
Copyright
Copyright © Applied Probability Trust 1983 

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Footnotes

Research carried out while the author was visiting Imperial College, London with financial support from the Royal Society.

References

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