In this paper we study the distribution of the time to ruin in the classical risk model. We employ the Gram-Charlier and Edgeworth series to approximate this distribution. We prove, by using numerical calculation methods, that the Edgeworth approximation gives better results. We also examine asymptotic behaviour of the moments of the time to ruin.
Numerical methods for the time of ruin
PIETROLUONGO, Maria Fortuna
2013-01-01
Abstract
In this paper we study the distribution of the time to ruin in the classical risk model. We employ the Gram-Charlier and Edgeworth series to approximate this distribution. We prove, by using numerical calculation methods, that the Edgeworth approximation gives better results. We also examine asymptotic behaviour of the moments of the time to ruin.File in questo prodotto:
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