statistic with a statistic with the same low-order cumulants (or moments). In this paper we propose an approximation of this … the first eight cumulants). Using the same approach, we also suggest an approximation to the distribution of the analogue …

We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two …, for the Poisson process, a De Vylder-type approximation has already been introduced. The idea of the diffusion … approximation presented here is based on the weak convergence of stochastic processes, which enables one to replace the original …