Estimates for the probability of ruin starting with a large initial reserve (Q1085556): Difference between revisions
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Revision as of 23:03, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimates for the probability of ruin starting with a large initial reserve |
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Estimates for the probability of ruin starting with a large initial reserve (English)
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1986
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In the present paper, the usual risk reserve process and the time to ruin are considered. Continuing an approach of \textit{J. Grandell} [Scand. Actuarial J. 1977, Suppl., 37-52 (1977; Zbl 0384.60057)] who derived a diffusion type approximation for the distribution of the time to ruin, the authors study the accuracy of this approximation by using the strong approximation of the risk reserve process. The approximations of the time to ruin turn out to be analogues of \textit{J. F. C. Kingman's} heavy traffic approximations [J. R. Stat. Soc., Ser. B 24, 383-392 (1962; Zbl 0127.100)].
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diffusion approximation
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collective risk theory
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probability of ruin
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risk reserve process
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distribution of the time to ruin
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strong approximation
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heavy traffic approximations
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