Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 478-489
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...