Ruin probability approximations in sparre andersen models with completely monotone claims

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. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 4, p. 1-14
Publisher:	Basel : MDPI
Subject:	completely monotone distributions \| error bounds \| heavy tails \| hyperexponential distribution \| Sparre Andersen model

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks7040104 [DOI] 1684086418 [GVK] hdl:10419/257942 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200522