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Title: Ruin probabilities by Pad�s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cram�r�Lundberg), and high precision approximations with both light and heavy tails
Authors: Avram F.
Banik A.D.
Horvath A.
Keywords: De Vylder approximation
Heavy-tailed density
Pollaczek�Khinchine formula
Renyi and Cram�r�Lundberg approximations
Ruin probability
Shifted Pad� approximation
Spectrally negative L�vy process
Issue Date: 2019
Citation: 1
Abstract: We revisit below Pad� and other rational approximations for ruin probabilities, of which the approximations mentioned in the title are just particular cases. We provide new simple Tijms-type and moments based approximations, and show that shifted Pad� approximations are quite successful even in the case of heavy tailed claims. � 2018, EAJ Association.
Appears in Collections:Research Publications

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