Approximation of the ruin probability with an exponential exactness
β Scribed by V. I. Lotov
- Publisher
- SP MAIK Nauka/Interperiodica
- Year
- 1992
- Tongue
- English
- Weight
- 330 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0037-4466
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Consider a renewal insurance risk model with initial surplus u ΒΏ 0 and let A u denote the deΓΏcit at the time of ruin. This paper investigates the asymptotic behavior of the moments of A u as u tends to inΓΏnity. Under the assumption that the claim size is exponentially or subexponentially distributed
We obtain explicit expressions for the distribution of surplus immediately before and after ruin which allow for simple derivation of bounds as well as simple evaluation for certain choices of the claim size distribution. We then use these expressions to construct Tijms-type approximations which are