What is the best approximation of ruin probability in infinite time?
Krzysztof Burnecki ; Paweł Miśta ; Aleksander Weron
Applicationes Mathematicae, Tome 32 (2005), p. 155-176 / Harvested from The Polish Digital Mathematics Library

We compare 12 different approximations of ruin probability in infinite time studying typical light- and heavy-tailed claim size distributions, namely exponential, mixture of exponentials, gamma, lognormal, Weibull, loggamma, Pareto and Burr. We show that approximation based on the Pollaczek-Khinchin formula gives most accurate results, in fact it can be chosen as a reference method. We also introduce a promising modification to the De Vylder approximation.

Publié le : 2005-01-01
EUDML-ID : urn:eudml:doc:279750
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     title = {What is the best approximation of ruin probability in infinite time?},
     journal = {Applicationes Mathematicae},
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     year = {2005},
     pages = {155-176},
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Krzysztof Burnecki; Paweł Miśta; Aleksander Weron. What is the best approximation of ruin probability in infinite time?. Applicationes Mathematicae, Tome 32 (2005) pp. 155-176. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am32-2-4/