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New Approximations of Ruin Probability in a Risk Process
- Issue Date
- Dec-2010
- Publisher
- NCTU-NATIONAL CHIAO TUNG UNIV PRESS
- Keywords
- Continuous-time risk process; Cramer's approximation; exponential approximation; ruin probability; Tims' approximation
- Citation
- QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT, v.7, no.4, pp 377 - 383
- Pages
- 7
- Journal Title
- QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT
- Volume
- 7
- Number
- 4
- Start Page
- 377
- End Page
- 383
- ISSN
- 1684-3703
1811-4857
- Abstract
- A continuous-time risk process is considered, where the premium rate is constant and claim process forms a compound Poisson process. We introduce new approximations of the ruin probability of the risk process, which extend Cramer's and Tijms' approximations. We also introduce an extended formula of the well-known exponential approximation. These new approximations give closer values to the true ruin probability than the existing ones.
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