Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails

DOI10.1007/s13385-018-0180-8zbMath1422.91323OpenAlexW2893125141WikidataQ62048423 ScholiaQ62048423MaRDI QIDQ2323676

Yanyan Li

Publication date: 3 September 2019

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-018-0180-8

zbMATH Keywords

ruin probabilityDe Vylder approximationspectrally negative Lévy processheavy-tailed densityPollaczek-Khinchine formulaRenyi and Cramér-Lundberg approximationsshifted Padé approximation

Mathematics Subject Classification ID

Related Items (2)

Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Uses Software

• Butools

Cites Work

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