Approximating the classical risk process by stable Lévy motion

Jingyi Cao and Virginia R. Young

Scandinavian Actuarial Journal, 2023, vol. 2023, issue 7, 679-707

Abstract: The classical Cramér–Lundberg risk process is commonly used to model the surplus of an insurer; it characterizes the claim arrival process and the claim size random variable Y through a compound Poisson process, along with a constant rate of premium income. When $ \mathbb {E}(Y^2) \lt \infty $ E(Y2)

Date: 2023
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DOI: 10.1080/03461238.2022.2142157

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