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Quality of the Ruin Probabilities Approximation Using the Regenerative Processes Approach regarding to Large Claims
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It is rare to find explicit analytical relations to calculate the ruin probability. Indeed, the stability issue occurs naturally in ruin theory, when parameters in risk cannot be estimated than with uncertainty. However, in most cases, there are no explicit formulas for the ruin probability. Hence, the interest to obtain explicit stability bounds for these probabilities in different risk models. In this paper, we interest to the stability bounds of the univariate classical risk model established using the regenerative processes approach. By adopting an algorithmic approach, we implement this approximation and determine numerically the bounds of ruin probability in the case of large claims (heavy-tailed distribution). <iframe src="https://publications.waset.org/abstracts/63426.pdf" style="width:100%; height:400px;" frameborder="0"></iframe> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=heavy-tailed%20distribution" title="heavy-tailed distribution">heavy-tailed distribution</a>, <a href="https://publications.waset.org/abstracts/search?q=large%20claims" title=" large claims"> large claims</a>, <a href="https://publications.waset.org/abstracts/search?q=regenerative%20process" title=" regenerative process"> regenerative process</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20model" title=" risk model"> risk model</a>, <a href="https://publications.waset.org/abstracts/search?q=ruin%20probability" title=" ruin probability"> ruin probability</a>, <a href="https://publications.waset.org/abstracts/search?q=stability" title=" stability"> stability</a> </p> <a href="https://publications.waset.org/abstracts/63426/quality-of-the-ruin-probabilities-approximation-using-the-regenerative-processes-approach-regarding-to-large-claims" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/63426.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">364</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" 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