A new De Vylder type approximation of the ruin probability in infinite time

Krzysztof Burnecki, Pawel Mista and Aleksander Weron

No HSC/03/05, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal claims. In order to obtain exact values of the ruin probability for the lognormal case we use Pollaczeck-Khinchine formula. We show that the proposed 4-moment gamma De Vylder approximation works even better than the original one.

Keywords: Risk process; Ruin probability; De Vylder approximation; Pollaczeck-Khinchine formula (search for similar items in EconPapers)
JEL-codes: C63 G22 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_05.pdf Original version, 2003 (application/pdf)

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