An alternative proof of a limit theorem for the Pólya-Lundberg process
Dietmar Pfeifer · Scandinavian Actuarial Journal · 1982
For the jump time sequence {Xn;n⩾O} of a Pólya-Lundberg process it is shown that n/Xn is asymptotically gamma-distributed, the limiting distribution being related to the unconditional risk distribution of the process. A statistical inference problem arising from this fact is also discussed.