Practical approaches to the estimation of the ruin probability in a risk model with additional funds
Probability
2015-03-19 v1
Abstract
We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an upper exponential bound and construct an analogue to the De Vylder approximation for the ruin probability. We compare results of these approaches with statistical estimates obtained by the Monte Carlo method for selected distributions of claim sizes and additional funds.
Keywords
Cite
@article{arxiv.1503.05383,
title = {Practical approaches to the estimation of the ruin probability in a risk model with additional funds},
author = {Yuliya Mishura and Olena Ragulina and Oleksandr Stroyev},
journal= {arXiv preprint arXiv:1503.05383},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.15559/15-VMSTA18 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)