A property of the generalized inverse Gaussian distribution with some applications
- 1 September 1983
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 20 (3) , 537-544
- https://doi.org/10.2307/3213890
Abstract
An asymptotic convolution property for the generalized inverse Gaussian distribution with λ < 0 is proved. This result is applied to calculate the probability of ruin in the general risk model when these distributions are used to model claim sizes. Some related applications are discussed.Keywords
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