Saddlepoint approximations for the probability of ruin in finite time

Authors
Barndorff-Nielsen, E. O. Schmidli, H.
Citation
O. Barndorff-nielsen, E. et H. Schmidli,, Saddlepoint approximations for the probability of ruin in finite time, Scandinavian actuarial journal , 1995(2), 1995, pp. 169-186
Journal title
Scandinavian actuarial journal → ACNP
ISSN journal
03461238
Volume
1995
Issue
2
Year of publication
1995
Pages
169 - 186
Database
ACNP
SICI code
Abstract
Saddlepoint techniques are applied to obtain approximations for the probability of ruin both in finite and in infinite time for the classical Cramér-Lundberg model. The resulting approximations are compared to exact values.