Tight Approximation Of Basic Characteristics Of Classical And Non-Classical Surplus Processes *

@inproceedings{Kalashnikov2000TightAO,
  title={Tight Approximation Of Basic Characteristics Of Classical And Non-Classical Surplus Processes *},
  author={Vladimir L. Kalashnikov},
  year={2000}
}
We propose asymptotically correct two-sided bounds for random s,,mR (where the number of sllrnmands has an arbitrary distribution) which can be viewed as ruin probabilities or accumulated claim sizes in various risk processes. The bounds are fairly new and they reveal the real accuracy of some well-known and widely used asymptotic formulas. It turns out that this accuracy can be poor and the range where these formulas give appropriate approximations depends on the shape of the tail distribution… CONTINUE READING

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