PRECISE ESTIMATES OF RUIN PROBABILITIES
PRECISE ESTIMATES OF RUIN PROBABILITIES
Author(s): Marcin RudźSubject(s): Economy, Methodology and research technology
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: discrete time risk models; ruin probabilities; approximations; Solvency II;
Summary/Abstract: 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.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVI/2015
- Issue No: 2
- Page Range: 80-88
- Page Count: 9
- Language: English
