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Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Olena Ragulina
Published: 4 August 2020
 by  VTeX
Modern Stochastics: Theory and Applications pp 245-265; doi:10.15559/20-vmsta157

Abstract: Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy, Authors: Olena Ragulina , We deal with a generalization of the risk model with stochastic premiums where dividends are paid according to a constant dividend strategy and consider heuristic approximations for the ruin probability. To be more precise, we construct five- and three-moment analogues to the De Vylder approximation. To this end, we obtain an explicit formula for the ruin probability in the case of exponentially distributed premium and claim sizes. Finally, we analyze the accuracy of the approximations for some typical distributions of premium and claim sizes using statistical estimates obtained by the Monte Carlo methods.
Keywords: stochastic / publishing / ruin probability / claim / Risk model / premiums / Constant Dividend

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