Cramér–Lundberg approximation for nonlin
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Mats Gyllenberg; Dmitrii S. Silvestrov
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Article
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2000
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Elsevier Science
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English
⚖ 129 KB
An extension of the classical Cramér-Lundberg approximation for ruin probabilities to a model of nonlinearly perturbed risk processes is presented. We introduce correction terms for the Cramér-Lundberg and diffusion type approximations, which provide the right asymptotic behaviour of relative errors