Dominik Kortschak

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For estimating P(<i>S</i><sub><i>n</i></sub> &gt; <i>x</i>) by simulation where <i>S</i><sub><i>k</i></sub> = <i>Y</i><sub>1</sub>+...+<i>Y</i><sub><i>k</i></sub> with <i>Y</i><sub>1</sub>, ...<i>, Y</i><sub><i>n</i></sub> are non-negative and heavy-tailed with distribution <i>F</i>, (Asmussen and Kroese 2006) suggested the estimator(More)
In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed by Trefethen et al. [12]. For a certain class of claim size distributions (which contains the completely monotone distributions) we give a theoretical(More)
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