Quality of the Approximation of Ruin Probabilities Regarding to Large Claims
- Cite this paper as:
- Bareche A., Cherfaoui M., Aïssani D. (2015) Quality of the Approximation of Ruin Probabilities Regarding to Large Claims. In: Le Thi H., Nguyen N., Do T. (eds) Advanced Computational Methods for Knowledge Engineering. Advances in Intelligent Systems and Computing, vol 358. Springer, Cham
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.
KeywordsApproximation Risk model Ruin probability Strong stability Large claim
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