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초록
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.
키워드
Continuous-time risk process; Cramer's approximation; exponential approximation; ruin probability; Tims' approximation
- 제목
- New Approximations of Ruin Probability in a Risk Process
- 저자
- Choi, Seung Kyoung; Choi, Moon Hee; Lee, Hye Sun; Lee, Eui Yong
- 발행일
- 2010-12
- 유형
- Article
- 권
- 7
- 호
- 4
- 페이지
- 377 ~ 383