Journal
QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT
Volume 7, Issue 4, Pages 377-383Publisher
NCTU-NATIONAL CHIAO TUNG UNIV PRESS
DOI: 10.1080/16843703.2010.11673239
Keywords
Continuous-time risk process; Cramer's approximation; exponential approximation; ruin probability; Tims' approximation
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Funding
- Korea government (MOST) [R01-2007-000-20045-0]
- Sookmyung Women's University
- National Research Foundation of Korea [R01-2007-000-20045-0] Funding Source: Korea Institute of Science & Technology Information (KISTI), National Science & Technology Information Service (NTIS)
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A continuous-time risk process is considered, where the premium rate is constant and claim process forms a compound Poisson process. We introduce new approximations of the ruin probability of the risk process, which extend Cramer's and Tijms' approximations. We also introduce an extended formula of the well-known exponential approximation. These new approximations give closer values to the true ruin probability than the existing ones.
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