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Coupling and explicit rates of convergence in Cramér-Lundberg approximation for          reinsurance risk processes
Stockholm University.
Stockholm University. (Mathematics/Applied Mathematics)ORCID-id: 0000-0002-2626-5598
2011 (engelsk)Inngår i: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, nr 19-20, s. 3524-3539Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

A classical result in risk theory is the Cramér-Lundberg approximation which says that under some general conditions the exponentially normalized ruin probability converges. In this article, we state an explicit rate of convergence for the Cramér-Lundberg approximation for ruin probabilities in the case where claims are bounded, which is realistic for, e.g., reinsurance models. The method, used to get the corresponding results, is based on renewal and coupling arguments.

sted, utgiver, år, opplag, sider
2011. Vol. 40, nr 19-20, s. 3524-3539
HSV kategori
Forskningsprogram
matematik/tillämpad matematik
Identifikatorer
URN: urn:nbn:se:mdh:diva-23090DOI: 10.1080/03610926.2011.581176ISI: 000294892100011Scopus ID: 2-s2.0-84856552198OAI: oai:DiVA.org:mdh-23090DiVA, id: diva2:669027
Tilgjengelig fra: 2013-12-02 Laget: 2013-12-02 Sist oppdatert: 2017-12-06bibliografisk kontrollert

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