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

Krzysztof Burnecki, Paweł Miśta, Aleksander Weron (2005)

Applicationes Mathematicae

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.

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