On the efficient evaluation of ruin probabilities for completely monotone claim distributions

H. Albrecher , Florin Avram (1) , D. Kortschak

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]

In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed in [2]. For a certain class of claim size distributions (which contains the completely monotone distributions) we give a theoretical justification for the method. We also show that under weaker assumptions on the claim size distribution, the method may still perform reasonably well in some cases. This in particular provides an efficient alternative to a related method proposed in [3]. A number of numerical illustrations for the performance of this procedure is provided for both completely monotone and other types of random variables.

Domaines: Probabilités [math.PR]

H. Albrecher, Florin Avram, D. Kortschak. On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Journal of Computational and Applied Mathematics, 2010, 233 (10), pp.2724-2736. ⟨10.1016/j.cam.2009.11.021⟩. ⟨hal-00868090⟩