A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion

Riccardo Gatto

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1948-1954

Abstract: We provide a saddlepoint approximation which allows us to compute the probability of ruin of the risk process where the number of claims is Poisson distributed and where an additional Wiener term is considered. This approximation is very efficient and accurate. Some numerical illustrations and comparison with alternative methods are provided.

Date: 2008
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