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

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dc.contributor.authorAvram F.en_US
dc.contributor.authorBanik A.D.en_US
dc.contributor.authorHorvath A.en_US
dc.date.accessioned2025-02-17T08:25:08Z
dc.date.issued2019
dc.description.abstractWe 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.en_US
dc.identifier.citation1en_US
dc.identifier.urihttp://dx.doi.org/10.1007/s13385-018-0180-8
dc.identifier.urihttps://idr.iitbbs.ac.in/handle/2008/2204
dc.language.isoenen_US
dc.subjectDe Vylder approximationen_US
dc.subjectHeavy-tailed densityen_US
dc.subjectPollaczek�Khinchine formulaen_US
dc.subjectRenyi and Cram�r�Lundberg approximationsen_US
dc.subjectRuin probabilityen_US
dc.subjectShifted Pad� approximationen_US
dc.subjectSpectrally negative L�vy processen_US
dc.titleRuin 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 tailsen_US
dc.typeArticleen_US

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