Approximations of the ruin probability in a discrete time risk model (Q2218139)

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Approximations of the ruin probability in a discrete time risk model
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    Approximations of the ruin probability in a discrete time risk model (English)
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    14 January 2021
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    The main result of the paper consists of an approximation technique, by which the ultimate ruin probability in the classical Gerber-Dickson risk model can be derived, when claims follow a negative binomial mixture distribution. In particular, based on this methodology, the ruin probability is expressed as the expected value of a deterministic sequence \(\{Ck\}\), with \(k\) the value of a negative binomial distribution. This sequence is obtained recursively. Then, the result is framed within a mixed Poisson scenario. Numerical examples show the approximation methods when the mixing distribution is Erlang, Pareto and lognormal.
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    ruin probability
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    risk process
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