Simple approximations of ruin probabilities

@inproceedings{Grandell2000SimpleAO,
  title={Simple approximations of ruin probabilities},
  author={J. Grandell},
  year={2000}
}
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 approximation is certainly the De Vylder approximation, which is based on the idea to replace the risk process with a risk process with exponentially distributed claims such that the three first moments… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 19 references

Exemplification of ruin probabilities

  • N. Wikstad
  • Astin Bulletin
  • 1971
Highly Influential
4 Excerpts

A ruin function approximation

  • J. Beekman
  • Transactions of the Society of Actuaries
  • 1969
Highly Influential
5 Excerpts

Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes

  • S. Asmussen
  • 1982
Highly Influential
5 Excerpts

Calculation of ruin probabilities when the claim distribution is lognormal

  • O. 622–628. Thorin, N. Wikstad
  • Astin Bulletin
  • 1977
Highly Influential
3 Excerpts

Large deviation results for subexponential tails, with applications to insurance risk

  • S. Asmussen, C. Klüppelberg
  • GI/G/1 queue. Journal of Applied Probability
  • 2000

A comparison of some approximations of ruin probabilities, Skand. AktuarTidskr., 144–158

  • J. Grandell
  • Arkiv für mathematische Wirtschaft-und
  • 1997
7 Excerpts

Modelling Extremal Events for Insurance and Finance

  • P. Actuaries. Embrechts, C. Klüppelberg, T. Mikosch
  • 1997
1 Excerpt

A practical solution to the problem of ultimate ruin probability. Scandinavian Actuarial Journal, 114–119

  • II. Springer, Berlin
  • De Vylder, F.E.,
  • 1994

Mathematical Methods of Statistics. Almqvist & Wiksell/Princeton University Press, Stockholm/Princeton

  • Works, Vol. I. Springer, Berlin
  • Cramér, H.,
  • 1994

Conditioned limit theorems relating a random walk to its associate , with applications to risk reserve processes and the GI / G / 1 queue

  • S. Asmussen
  • Journal of Applied Probability
  • 1982
1 Excerpt

Similar Papers

Loading similar papers…