De Vylder type approximation of the ruin probability for the insurer-reinsurer model
In this article we introduce a De Vylder type of approximation of the ruin probability for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion. Such a process is usually associated with the insurer - reinsurer model. Applying De Vylder’s idea to the risk process we obtain an approximation of the ruin probability for an arbitrary claim amount distribution only assuming that the third moment exists. We check performance of the approximation by means...