Risk Processes with Normal Inverse Gaussian Claims and Premiums

Dean Teneng () and Kalev Pärna ()
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Dean Teneng: University of Tartu, Institute of Mathematical Statistics
Kalev Pärna: University of Tartu, Institute of Mathematical Statistics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 177-181 from Springer

Abstract: Abstract We study risk processes where claims and premiums are modeled by independent normal inverse Gaussian (NIG) Lévy processes; claims by a spectrally positive NIG Lévy process. Using martingale technique, the Lundberg inequality for ruin probability is proved.

Keywords: NIG; Risk process; Cramer-Lundberg (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_40

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DOI: 10.1007/978-3-319-05014-0_40

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