IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2018y2018i7p555-575.html
   My bibliography  Save this article

Ruin probabilities in classical risk models with gamma claims

Author

Listed:
  • Corina Constantinescu
  • Gennady Samorodnitsky
  • Wei Zhu

Abstract

In this paper, we provide three equivalent expressions for ruin probabilities in a Cramér–Lundberg model with gamma distributed claims. The results are solutions of integro-differential equations, derived by means of (inverse) Laplace transforms. All the three formulas have infinite series forms, two involving Mittag–Leffler functions and the third one involving moments of the claims distribution. This last result applies to any other claim size distributions that exhibits finite moments.

Suggested Citation

  • Corina Constantinescu & Gennady Samorodnitsky & Wei Zhu, 2018. "Ruin probabilities in classical risk models with gamma claims," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2018(7), pages 555-575, August.
    • Handle: RePEc:taf:sactxx:v:2018:y:2018:i:7:p:555-575
    DOI: 10.1080/03461238.2017.1402817
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2017.1402817
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2017.1402817?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2018:y:2018:i:7:p:555-575. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.