## Abstract

An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexponential distribution. The formula can be used for finding approximations for finite-time ruin probabilities in the case when claim sizes follow a heavy-tailed distribution e.g. Pareto. We also provide theoretical bounds for the accuracy of approximations of the finite-time ruin probabilities in terms of a distance between the distribution of claims and its approximation. Results of numerical comparisons with asymptotic formulas and simulations are presented.

Original language | English |
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Title of host publication | Mathematical and Statistical Methods for Actuarial Sciences and Finance |

Editors | Cira Perna, Marilena Sibillo |

Place of Publication | Milan, Italy |

Publisher | Springer, Springer Nature |

Pages | 245-253 |

Number of pages | 9 |

ISBN (Print) | 9788847023413 |

DOIs | |

Publication status | Published - 2012 |

Event | 5th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2012 - Venice, Italy Duration: 10 Apr 2012 → 12 Apr 2012 |

### Other

Other | 5th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2012 |
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Country/Territory | Italy |

City | Venice |

Period | 10/04/12 → 12/04/12 |