Practical approaches to the estimation of the ruin probability in a risk model with additional funds
Volume 1, Issue 2 (2014), pp. 167–180
Pub. online: 2 February 2015
Type: Research Article
Open Access
Open Access
Received
4 January 2015
4 January 2015
Accepted
19 January 2015
19 January 2015
Published
2 February 2015
2 February 2015
Abstract
We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an upper exponential bound and construct an analogue to the De Vylder approximation for the ruin probability. We compare results of these approaches with statistical estimates obtained by the Monte Carlo method for selected distributions of claim sizes and additional funds.
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