The Cramer-Lundberg Approximation: A New Approach
AbstractThe well-known Cramer-Lundberg approximation says that for large u, the ultimate ruin probability w(u) satisfies w(u)~Ce-Ru, where u is the initial reserve, R is the adjustment coefficient and C is a positive constant. Our aim in this work is to present a new expression for C in the classical perturbed risk process and to extend this expression in two cases: 1) possibly negative claims and 2) an infinite number of claims on finite time intervals.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Catholique de Louvain - Institut de statistique in its series Papers with number 9812.
Length: 19 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: Universite Catholique de Louvain, Institut de Statistique, Voie du Roman Pays, 34 B-1348 Louvain- La-Neuve, Belgique.
Find related papers by JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.