Finite time ruin probabilities for tempered stable insurance risk processes

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Finite time ruin probabilities for tempered stable insurance risk processes</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130014142">
<namePart>Griffin, Philip S.</namePart>
<nameIdentifier>MAPA20130014142</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130016245">
<namePart>Maller,  Ross A.</namePart>
<nameIdentifier>MAPA20130016245</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130016252">
<namePart>Roberts, Dale</namePart>
<nameIdentifier>MAPA20130016252</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2013</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">We study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations based on importance sampling using stable processes. Theoretical consequences of the asymptotic formulae indicate that some care is needed in the choice of parameters to avoid exponential growth (in time) of the ruin probabilities in these models. This, in particular, applies to the inverse Gaussian process when the safety loading is less than one.</abstract>
<note type="statement of responsibility">Philip S. Griffin,  Ross A. Maller, Dale Roberts</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080611613">
<topic>Modelos probabílisticos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080576790">
<topic>Modelo Gaussiano</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>Insurance : mathematics and economics</title>
</titleInfo>
<originInfo>
<publisher>Oxford : Elsevier, 1990-</publisher>
</originInfo>
<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>02/09/2013 Volumen 53 Número 2 - septiembre 2013 , p. 478-489</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">131008</recordCreationDate>
<recordChangeDate encoding="iso8601">20131112164945.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20130033006</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>