Coupling and Explicit Rate of Convergence in Cramer-Lundberg Approximation for Reinsurance Risk Processes
2011 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 19-20, 3524-3539 p.Article in journal (Refereed) Published
A classical result in risk theory is the Cramer-Lundberg approximation which says that under some general conditions the exponentially normalized ruin probability converges. In this article, we state an explicit rate of convergence for the Cramer-Lundberg approximation for ruin probabilities in the case where claims are bounded, which is realistic for, e. g., reinsurance models. The method, used to get the corresponding results, is based on renewal and coupling arguments.
Place, publisher, year, edition, pages
2011. Vol. 40, no 19-20, 3524-3539 p.
Coupling method, Cramer-Lundberg approximation, Rate of convergence, Reinsurance risk process, Reinsurance ruin probability
IdentifiersURN: urn:nbn:se:su:diva-66850DOI: 10.1080/03610926.2011.581176ISI: 000294892100011OAI: oai:DiVA.org:su-66850DiVA: diva2:469761
authorCount :22011-12-272011-12-212014-05-07Bibliographically approved