PRECISE ESTIMATES OF RUIN PROBABILITIES

• Authors: Rudź Marcin
• Languages of publication: EN

Abstracts

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.

Keywords

EN

discrete time risk models; ruin probabilities; approximations; Solvency II

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2015
• Volume: 16
• Issue: 2
• Pages: 80-88

Dates

published

2015

Contributors

author

Rudź Marcin

• Institute of Mathematics, Technical University of Lodz

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