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# Simple approximations of ruin probabilities

@inproceedings{Grandell2000SimpleAO, title={Simple approximations of ruin probabilities}, author={J. Grandell}, year={2000} }

- Published 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