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The Cramer-Lundberg Approximation: A New Approach

Author

Listed:
  • Ars, P.
  • Janssen, J.

Abstract

The well-known Cramer-Lundberg approximation says that for large u, the ultimate ruin probability w(u) satisfies w(u)~Ce-Ru, where u is the initial reserve, R is the adjustment coefficient and C is a positive constant. Our aim in this work is to present a new expression for C in the classical perturbed risk process and to extend this expression in two cases: 1) possibly negative claims and 2) an infinite number of claims on finite time intervals.

Suggested Citation

  • Ars, P. & Janssen, J., 1998. "The Cramer-Lundberg Approximation: A New Approach," Papers 9812, Catholique de Louvain - Institut de statistique.
    • Handle: RePEc:fth:louvis:9812
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    Keywords

    MATHEMATICS;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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