Gamma Processes and Finite Time Survival Probabilities

David C. M. Dickson and Howard R. Waters

ASTIN Bulletin, 1993, vol. 23, issue 2, 259-272

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.

Date: 1993
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