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  1. 1 Metody Ilościowe w Badaniach Ekonomicznych

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  1. 1 2015

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  1. 1 Rudź M.

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PRECISE ESTIMATES OF RUIN PROBABILITIES

100%
Rudź M.
Metody Ilościowe w Badaniach Ekonomicznych
|
2015
|
vol. 16
|
issue 2
80-88
EN
In this paper we investigate a sequence of accurate approximations of ruin probabilities in discrete time models. We prove its convergence to the exact ruin probability without any restrictive assumptions on the claim distribution. Numerical studies show that the sequence, from the first term on, accurately approximates ruin probabilities. A formula for ruin probabilities in the finite horizon is also proposed.
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