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Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims

Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Quartier UNIL-Chamberonne Bâtiment Extranef, 1015 Lausanne, Switzerland
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Risks 2019, 7(4), 104; https://doi.org/10.3390/risks7040104
Received: 20 September 2019 / Revised: 7 October 2019 / Accepted: 8 October 2019 / Published: 14 October 2019
We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek–Khintchine formula, and develop an efficient algorithm to approximate the ruin probability for completely monotone claim size distributions. Our algorithm improves earlier results and can be tailored towards achieving a predetermined accuracy of the approximation. View Full-Text
Keywords: Sparre Andersen model; heavy tails; completely monotone distributions; error bounds; hyperexponential distribution Sparre Andersen model; heavy tails; completely monotone distributions; error bounds; hyperexponential distribution
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Albrecher, H.; Vatamidou, E. Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims. Risks 2019, 7, 104.

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