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Ruin Probability in Finite Time


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  • Krzysztof Burnecki
  • Marek Teuerle


The ruin probability in finite time can only be calculated analytically for a few special cases of the claim amount distribution. The most classic example is discussed in Section 1.2. The value can always be computed directly using Monte Carlo simulations, however, this is usually a time-consuming procedure. Thus, finding a reliable approximation is really important from a practical point of view. The most important approximations of the finite time ruin probability are presented in Section 1.3. They are further illustrated in Section 1.4 using the Danish fire losses dataset, which concerns major fire losses in profits that occurred between 1980 and 2002 and were recorded by Copenhagen Re.

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Bibliographic Info

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/10/04.

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Length: 23 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:wuu:wpaper:hsc1004

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Related research

Keywords: Insurance risk model; Ruin probability; Segerdahl approximation; De Vylder approximation; Diffusion approximation; Brownian motion; Levy motion;

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Cited by:
  1. Agata Boratyńska & Krzysztof Kondraszuk, 2013. "Odporność składki kwantylowej na ε-zaburzenie rozkładu liczby szkód," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 117-136.
  2. Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.


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