What is the best approximation of ruin probability in infinite time?

Krzysztof Burnecki, Paweł Miśta, and Aleksander Weron. "What is the best approximation of ruin probability in infinite time?." Applicationes Mathematicae 32.2 (2005): 155-176. <http://eudml.org/doc/279750>.

@article{KrzysztofBurnecki2005,
abstract = {We compare 12 different approximations of ruin probability in infinite time studying typical light- and heavy-tailed claim size distributions, namely exponential, mixture of exponentials, gamma, lognormal, Weibull, loggamma, Pareto and Burr. We show that approximation based on the Pollaczek-Khinchin formula gives most accurate results, in fact it can be chosen as a reference method. We also introduce a promising modification to the De Vylder approximation.},
author = {Krzysztof Burnecki, Paweł Miśta, Aleksander Weron},
journal = {Applicationes Mathematicae},
keywords = {risk process; ruin probability; loss distribution; Pollaczek–Khinchin formula; De Vylder approximation},
language = {eng},
number = {2},
pages = {155-176},
title = {What is the best approximation of ruin probability in infinite time?},
url = {http://eudml.org/doc/279750},
volume = {32},
year = {2005},
}

TY - JOUR
AU - Krzysztof Burnecki
AU - Paweł Miśta
AU - Aleksander Weron
TI - What is the best approximation of ruin probability in infinite time?
JO - Applicationes Mathematicae
PY - 2005
VL - 32
IS - 2
SP - 155
EP - 176
AB - We compare 12 different approximations of ruin probability in infinite time studying typical light- and heavy-tailed claim size distributions, namely exponential, mixture of exponentials, gamma, lognormal, Weibull, loggamma, Pareto and Burr. We show that approximation based on the Pollaczek-Khinchin formula gives most accurate results, in fact it can be chosen as a reference method. We also introduce a promising modification to the De Vylder approximation.
LA - eng
KW - risk process; ruin probability; loss distribution; Pollaczek–Khinchin formula; De Vylder approximation
UR - http://eudml.org/doc/279750
ER -