What is the best approximation of ruin probability in infinite time?

• Autorzy: Krzysztof Burnecki , Paweł Miśta , Aleksander Weron
• Języki publikacji: EN

Abstrakty

EN

We compare 12 different approximations of ruin probability in infinite time studying typical light- and heavy-tailed claim size distributions, namely exponential, mixture of exponentials, gamma, lognormal, Weibull, loggamma, Pareto and Burr. We show that approximation based on the Pollaczek-Khinchin formula gives most accurate results, in fact it can be chosen as a reference method. We also introduce a promising modification to the De Vylder approximation.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 60G55: Point processes

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2005
• Tom: 32
• Numer: 2
• Strony: 155-176

Daty

wydano

2005

Twórcy

autor

Krzysztof Burnecki

• Hugo Steinhaus Center for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, Wyspiańskiego 27, 50-370 Wrocław, Poland
• Institute of Power Systems Automation, Wystawowa 1, 51-618 Wrocław, Poland

autor

Paweł Miśta

• Hugo Steinhaus Center, for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Aleksander Weron

• Hugo Steinhaus Center for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, Wyspiańskiego 27, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am32-2-4