Approximations for the probability of ruin within finite time
- 1 January 1984
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1984 (1) , 31-57
- https://doi.org/10.1080/03461238.1984.10413752
Abstract
A number of approximations for the probability of ruin before time T are surveyed, some new ones are suggested and numerical comparisons with the exact values are given for the Poisson/Exponential case. The approximations include normal ones and diffusion types. A variant and refinement of the classical diffusion approximation is derived and found to have a quite remarkable fit in the situations of main interest in risk theory.Keywords
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