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Approximations of the ruin probability in a discrete time risk model
- Publication Year :
- 2020
-
Abstract
- Based on a discrete version of the Pollaczeck-Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber-Dickson risk model is provided when claims follow a negative binomial mixture distribution. The result is then extended for claims with a mixed Poisson distribution. The formula obtained allows for some approximation procedures. Several examples are provided along with the numerical evidence of the accuracy of the approximations.<br />Comment: 24 pages, 4 figures
- Subjects :
- Mathematics - Probability
91B30
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2006.01391
- Document Type :
- Working Paper