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
Abstract: Abstract We analyze the probability of ruin for the scaled classical Cramer–Lundberg (CL) risk process and the corresponding diffusion approximation. The scaling, introduced by Iglehart (1969) to the actuarial literature, amounts to multiplying the Poisson… read more here.
Keywords: diffusion; rate convergence; rate; probability ruin ... See more keywords