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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 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 19-20, 3524-3539 p.Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
2011. Vol. 40, no 19-20, 3524-3539 p.
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-23090DOI: 10.1080/03610926.2011.581176ISI: 000294892100011Scopus ID: 2-s2.0-84856552198OAI: oai:DiVA.org:mdh-23090DiVA: diva2:669027
Available from: 2013-12-02 Created: 2013-12-02 Last updated: 2015-01-30Bibliographically approved

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Silvestrov, Dmitrii
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CiteExportLink to record
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