IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2020y2020i8p718-735.html
   My bibliography  Save this article

Approximation of ruin probability and ruin time in discrete Brownian risk models

Author

Listed:
  • Grigori Jasnovidov

Abstract

We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, γ-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical and natural grid of points is for instance $G(1)= \{0, 1, 2, \ldots \} $G(1)={0,1,2,…}, which allows us to study the probability of the ruin on the first day, second day, and so one. For such a discrete setting, there are no explicit formulas for the ruin probabilities mentioned above. In this contribution we derive accurate approximations of ruin probabilities for uniform grids by letting the initial capital to grow to infinity.

Suggested Citation

  • Grigori Jasnovidov, 2020. "Approximation of ruin probability and ruin time in discrete Brownian risk models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(8), pages 718-735, September.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:8:p:718-735
    DOI: 10.1080/03461238.2020.1725911
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2020.1725911
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2020.1725911?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2020:y:2020:i:8:p:718-735. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.