Remarks on a generalized inverse Ggaussian type integral with applications
Applied Mathematics and Computation（2022）
摘要
•Study a generalized Esscher transform of the generalized inverse Gaussian distribution.•Develop an explicit expression for the cumulative distribution function of the GIG with a half-integer parameter which was unknown in the literature.•Apply some applications to the mixed Poisson with the truncated GIG-type distribution, TVaR and the finite-time ruin probability for a Sparre Andersen work models are provided.
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关键词
Truncated inverse gaussian,Generalized inverse gaussian cumulative distribution function,Size-biased Esscher transform,Mixed Poisson distribution,Tail value-at-Risk (TVaR),Finite-time ruin probabilities
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