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Practical approaches to the estimation of the ruin probability in a risk model with additional funds

Yuliya Mishura, Olena Ragulina, Oleksandr Stroyev
2015 Modern Stochastics: Theory and Applications  
We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an upper exponential bound and construct an analogue to the De Vylder approximation for the ruin probability. We compare results of these approaches with statistical estimates obtained by the Monte Carlo method for selected distributions of claim sizes and additional funds.
doi:10.15559/15-vmsta18 fatcat:tbjesqpnfrf73hwujb2wirqpdq