can any body help me in translated gamma process to approximate aggregate claims which is compound poisson? I wanna make simmulation using R..thank you very much.
Hi,
See the following links:
http://www.actuaries.org/ASTIN/Colloquia/Orlando/Papers/Afonso.pdf
https://stat.ethz.ch/R-manual/R-patched/library/stats/html/GammaDist.html
You can find a nice review in the book of Kaas ( "Modern actuarial risk theory"). And also you can find R code in this book.
See this file please
https://www.casact.org/library/astin/vol23no2/vol23no2.pdf
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