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• W2011521230 abstract "According to Solvency II directive, each insurance company could determine solvency capital requirements using its own, tailor made, internal model. This highlights the urgency of having fast numerical tools based on practically-oriented mathematical models. From the Solvency II perspective discrete time framework seems to be the most relevant one. In this paper, we propose a number of fast and accurate approximations of ruin probabilities involving some integral operator and examine them along strictly theoretical as well as numerical lines. For a few claim distributions the approximations are shown to be exact. In general, we prove that they converge with an exponential rate to the exact ruin probabilities without any restrictive assumptions on the claim distribution. A fast algorithm to approximate ruin probabilities by a numerical fixed point of the involved integral operator is given. As an application, ruin probabilities for, e.g. normally and Weibull – distributed claims are computed. Comparisons w..." @default.
• W2011521230 created "2016-06-24" @default.
• W2011521230 creator A5028897024 @default.
• W2011521230 creator A5032988188 @default.
• W2011521230 date "2013-09-01" @default.
• W2011521230 modified "2023-09-26" @default.
• W2011521230 title "Sharp approximations of ruin probabilities in the discrete time models" @default.
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• W2011521230 doi "https://doi.org/10.1080/03461238.2011.618761" @default.
• W2011521230 hasPublicationYear "2013" @default.
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