Mixed poisson processes and the probability of ruin |
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| Authors: | Hilary L. Seal Hans U. Gerber |
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| Affiliation: | Department of Mathematics, Ecole Polytechnique Fédérale de Lausanne, 1015 Lausanne, Switzerland;Ecole des Hautes Etudes Commerciales, Université de Lausanne, 1015 Lausanne, Switzerland |
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| Abstract: | In the Poisson case there is a well known formula that relates the probability of ruin to the distribution function of aggregate claims. It is shown how this formula can be generalized to the mixed Poisson case. |
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| Keywords: | Mixed Poisson process Ruin probability |
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