Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257942 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 4 [Article No.:] 104 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin probability for completely monotone claim size distributions. Our algorithm improves earlier results and can be tailored towards achieving a predetermined accuracy of the approximation.
Subjects: 
completely monotone distributions
error bounds
heavy tails
hyperexponential distribution
Sparre Andersen model
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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