Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims

Hansjörg Albrecher and Eleni Vatamidou
Additional contact information
Hansjörg Albrecher: Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Quartier UNIL-Chamberonne Bâtiment Extranef, 1015 Lausanne, Switzerland
Eleni Vatamidou: Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Quartier UNIL-Chamberonne Bâtiment Extranef, 1015 Lausanne, Switzerland

Risks, 2019, vol. 7, issue 4, 1-14

Abstract: 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.

Keywords: Sparre Andersen model; heavy tails; completely monotone distributions; error bounds; hyperexponential distribution (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2227-9091/7/4/104/pdf (application/pdf)
https://www.mdpi.com/2227-9091/7/4/104/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:7:y:2019:i:4:p:104-:d:276247

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().