Simple approximations of ruin probabilit
✍
Jan Grandell
📂
Article
📅
2000
🏛
Elsevier Science
🌐
English
⚖ 132 KB
A "simple approximation" of a ruin probability is an approximation using only some moments of the claim distribution and not the detailed tail behaviour of that distribution. Such approximations may be based on limit theorems or on more or less ad hoc arguments. The most successful simple approximat