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- W2186151088 abstract "For a compound Poisson process, the sequence of record jumps generated by the maximal loss random variable is approximated by an i.i.d, sequence of mixed exponential or gamma random variables. This is then used to approximate the probability of ultimate ruin. This approximation is compared to the Cram6r-Lundberg, Beekman-Bowers, and de Vylder approximations. It is shown to be sufficiently accurate for practical purposes." @default.
- W2186151088 created "2016-06-24" @default.
- W2186151088 date "1994-04-01" @default.
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- W2186151088 title "A practical algorithm for approximating the probability of ruin." @default.
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- W2186151088 doi "https://doi.org/10.1016/0167-6687(94)90423-5" @default.
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