The Cramer-Lundberg Approximation: A New Approach

The well-known Cramer-Lundberg approximation says that for large u, the ultimate ruin probability w(u) satisfies w(u)~Ce-Ru, where u is the initial reserve, R is the adjustment coefficient and C is a positive constant. Our aim in this work is to present a new expression for C in the classical perturbed risk process and to extend this expression in two cases: 1) possibly negative claims and 2) an infinite number of claims on finite time intervals.

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Year of publication:	1998
Authors:	Ars, P. ; Janssen, J.
Institutions:	Catholique de Louvain - Institut de statistique
Subject:	MATHEMATICS

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Series:	Catholique de Louvain - Institut de statistique.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625684