Albrecher, Hansjörg; Vatamidou, Eleni - In: Risks : open access journal 7 (2019) 4/104, pp. 1-14
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...
