Approximation of ruin probability and ruin time in discrete Brownian risk models
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Abstract: We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, {gamma}-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,...}, 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.
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Cited in
(13)- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Sharp approximations of ruin probabilities in the discrete time models
- Extremes of reflecting Gaussian processes on discrete grid
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
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