Quality of the Approximation of Ruin Probabilities Regarding to Large Claims

  • Aicha Bareche
  • Mouloud Cherfaoui
  • Djamil Aïssani
Conference paper

DOI: 10.1007/978-3-319-17996-4_11

Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 358)
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

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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