Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures

DOI10.1007/s11009-016-9515-6zbMath1408.91105MaRDI QIDQ1707042

Peng Zhang

Publication date: 28 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9515-6

zbMATH Keywords

risk process; classical risk model; ultimate ruin probability; continuous empirical distribution; Erlang mixture distribution

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

62E17: Approximations to statistical distributions (nonasymptotic)