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On Approximations to the Ruin Probability for the Classical Risk Process

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New two-sided bounds are proposed for the ruin probability in the classical risk process.

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References

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Authors and Affiliations

  1. Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, Moscow, Russia

    S. V. Gavrilenko & V.Yu. Korolev

  2. Moscow Center for Fundamental and Applied Mathematics, Moscow, Russia

    S. V. Gavrilenko & V.Yu. Korolev

  3. Federal Research Center “Computer Science and Control”, Russian Academy of Sciences, Moscow, Russia

    S. V. Gavrilenko & V.Yu. Korolev

Authors
  1. S. V. Gavrilenko
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  2. V.Yu. Korolev
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Corresponding author

Correspondence to V.Yu. Korolev.

Additional information

The paper was published with the financial support of the Ministry of Education and Science of the Russian Federation under the agreement 075–15–2019–1621.

Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, Vol. 22, pp. 137–147, 2010

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Gavrilenko, S.V., Korolev, V. On Approximations to the Ruin Probability for the Classical Risk Process. J Math Sci 267, 57–63 (2022). https://doi.org/10.1007/s10958-022-06108-z

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  • DOI: https://doi.org/10.1007/s10958-022-06108-z

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