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http://dx.doi.org/10.7465/jkdi.2014.25.1.1

New approximations of the ruin probability in a continuous time surplus process  

Kwon, Cheonga (Department of Statistics, Sookmyung Women's University)
Choi, Seung Kyoung (Department of Statistics, Sookmyung Women's University)
Lee, Eui Yong (Department of Statistics, Sookmyung Women's University)
Publication Information
Journal of the Korean Data and Information Science Society / v.25, no.1, 2014 , pp. 1-10 More about this Journal
Abstract
In this paper, we study approximations of the ruin probability in a continuous time surplus process. First, we introduce the well-known approximation formulas of the ruin probability such as Cram$\acute{e}$r, Tijms' and De Vylder's methods. We, then, suggest new approximation formulas of two types, which improve the existing approximation formulas. One is Cram$\acute{e}$r and Tijms' type which makes use of the moment generating function of distribution of a claim size and the other is De Vylder's type which makes use of the surplus process with exponential claims. Finally, we compare, by illustrating numerical examples, the newly suggested approximation formulas with the existing approximation formulas of the ruin probability.
Keywords
Approximation; ruin probability; surplus process;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
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