New Approximations of Ruin Probability in a Risk Process

Abstract

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.

Key Words:

• Continuous-time risk process
• Cramer’s approximation
• exponential approximation
• ruin probability
• Tims’ approximation

Additional information

Notes on contributors

Seung Kyoung Choi

Seung Kyoung Choi is a researcher of the department of Statistics at Sookmyung Women’s University in Seoul, Korea. She received her M.S. in 2001 and Ph.D. in Statistics in 2006 from the same university.

Moon Hee Choi

Moon Hee Choi received her B.S. in 2004 and M.S. in Statistics in 2009 from Sookmyung Women’s University in Seoul, Korea.

Hye Sun Lee

Hye Sun Lee received her B.S. in 2007 and M.S. in Statistics in 2009 from Sookmyung Women’s University in Seoul, Korea.

Eui Yong Lee

Eui Yong Lee is a Professor of the department of Statistics at Sookmyung Women’s University in Seoul, Korea. He received his Ph.D. in Statistics from the SUNY at Stony Brook in 1988. He was an Assistant Professor at Wright State University from 1988 to 1990. After coming back to Korea he taught at POSTECH for nine years until he joined Sookmyung Women’s University in 1999.