Approximation of ruin probability and ruin time in discrete Brownian risk models
Détails
ID Serval
serval:BIB_7F9613726984
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Approximation of ruin probability and ruin time in discrete Brownian risk models
Périodique
Scandinavian Actuarial Journal
ISSN
0346-1238
1651-2030
1651-2030
Statut éditorial
Publié
Date de publication
13/09/2020
Peer-reviewed
Oui
Volume
2020
Numéro
8
Pages
718-735
Langue
anglais
Résumé
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.
Mots-clé
Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability
Web of science
Financement(s)
Fonds national suisse / 200021-175752
Création de la notice
24/02/2020 15:15
Dernière modification de la notice
22/05/2021 5:34