Saddlepoint approximations for the probability of ruin in finite time
- 1 July 1995
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1995 (2) , 169-186
- https://doi.org/10.1080/03461238.1995.10413956
Abstract
Saddlepoint techniques are applied to obtain approximations for the probability of ruin both in finite and in infinite time for the classical Cramér-Lundberg model. The resulting approximations are compared to exact values.Keywords
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