Approximation of ruin probability and ruin time in discrete Brownian risk models
Details
Serval ID
serval:BIB_7F9613726984
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Approximation of ruin probability and ruin time in discrete Brownian risk models
Journal
Scandinavian Actuarial Journal
ISSN
0346-1238
1651-2030
1651-2030
Publication state
Published
Issued date
13/09/2020
Peer-reviewed
Oui
Volume
2020
Number
8
Pages
718-735
Language
english
Abstract
We analyze the classical Brownian risk models discussing the approxima-
tion of ruin probabilities (classical, γ-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.
tion of ruin probabilities (classical, γ-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.
Keywords
Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability
Web of science
Funding(s)
Swiss National Science Foundation / 200021-175752
Create date
24/02/2020 15:15
Last modification date
22/05/2021 5:34