Ruin probability approximations in sparre andersen models with completely monotone claims

Hansjörg Albrecher and Eleni Vatamidou

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin probability for completely monotone claim size distributions. Our algorithm improves earlier results and can be tailored towards achieving a predetermined accuracy of the approximation.

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Year of publication:	2019
Authors:	Albrecher, Hansjörg ; Vatamidou, Eleni
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 7.2019, 4/104, p. 1-14
Subject:	completely monotone distributions \| error bounds \| heavy tails \| hyperexponential distribution \| Sparre Andersen model \| Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Wahrscheinlichkeitsrechnung \| Probability theory \| Risiko \| Risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks7040104 [DOI] hdl:10419/257942 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012127948