Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation

DOI10.1016/j.insmatheco.2020.06.003zbMath1447.91130arXiv1902.00706OpenAlexW3034470688MaRDI QIDQ784454

Virginia R. Young, Asaf Cohen

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.00706

zbMATH Keywords

investment analysisdiffusion approximationapproximation errorprobability of ruinCramér-Lundberg risk process

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Diffusion processes (60J60) Actuarial mathematics (91G05)

Related Items (8)

Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Diffusive limit approximation of pure-jump optimal stochastic control problems ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Approximating the classical risk process by stable Lévy motion ⋮ Optimal Dividend Problem: Asymptotic Analysis

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