Approximations for Finite Horizon Ruin Probabilities in the Renewal Model

Søren Asmussen and Bjarne Højgaard

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 2, 106-119

Abstract: In Asmussen (1984), 'corrected diffusion approximations' for finite horizon ruin probabilities in the classical Cramér-Lundberg model is given. In this paper we generalize this method to the renewal model, first introduced by Andersen (1957). We calculate the approximations in case of phase type distributed claims and interarrival times. A comparison with simulated values indicates a good fit in situations of main interest in risk theory.

Date: 1999
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DOI: 10.1080/03461239950132606

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