Rate of convergence of the probability of ruin in the Cramér–Lundberg model to its diffusion approximation
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DOI: 10.1016/j.insmatheco.2020.06.003
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References listed on IDEAS
- Broeckx, F. & Goovaerts, M. & De Vylder, F., 1986. "Ordering of risks and ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 35-39, January.
- De Vylder, F. & Goovaerts, M., 1984. "Bounds for classical ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 121-131, April.
- Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel, 2008. "Methods for estimating the optimal dividend barrier and the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 243-254, February.
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Cited by:
- Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2020. "Optimal ratcheting of dividends in a Brownian risk model," Papers 2012.10632, arXiv.org.
- Kenneth Tsz Hin Ng & Wing Fung Chong, 2023. "Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences," Papers 2303.08462, arXiv.org, revised Sep 2023.
- Marc Abeille & Bruno Bouchard & Lorenzo Croissant, 2023. "Diffusive Limit Approximation of Pure-Jump Optimal Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 196(1), pages 147-176, January.
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More about this item
Keywords
Investment analysis; Probability of ruin; Cramér–Lundberg risk process; Diffusion approximation; Approximation error;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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