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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am32-2-4,
author = {Krzysztof Burnecki and Pawe\l\ Mi\'sta and Aleksander Weron},
title = {What is the best approximation of ruin probability in infinite time?},
journal = {Applicationes Mathematicae},
volume = {32},
year = {2005},
pages = {155-176},
zbl = {1075.62093},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am32-2-4}
}
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/