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Quality of the Approximation of Ruin Probabilities Regarding to Large Claims

  • Aicha Bareche
  • Mouloud Cherfaoui
  • Djamil Aïssani
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 358)

Abstract

The aim of this work is to show, on the basis of numerical examples based on simulation results, how the strong stability bound on ruin probabilities established by Kalashnikov (2000) is affected regarding to different heavy-tailed distributions.

Keywords

Approximation Risk model Ruin probability Strong stability Large claim 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aicha Bareche
    • 1
  • Mouloud Cherfaoui
    • 1
  • Djamil Aïssani
    • 1
  1. 1.Research Unit LaMOS (Modeling and Optimization of Systems), Faculty of TechnologyUniversity of BejaiaBejaiaAlgeria

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