The Cramer-Lundberg Approximation: A New Approach

P. Ars and J. Janssen

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: The well-known Cramer-Lundberg approximation says that for large u, the ultimate ruin probability w(u) satisfies w(u)~Ce-Ru, where u is the initial reserve, R is the adjustment coefficient and C is a positive constant. Our aim in this work is to present a new expression for C in the classical perturbed risk process and to extend this expression in two cases: 1) possibly negative claims and 2) an infinite number of claims on finite time intervals.

Keywords: MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C60 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1998
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:fth:louvis:9812

Access Statistics for this paper

More papers in Working Papers from Catholique de Louvain - Institut de statistique Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique..
Bibliographic data for series maintained by Thomas Krichel ().