Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Year of publication: |
2020
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Authors: | Cohen, Asaf ; Young, Virginia R. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 333-340
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Subject: | Approximation error | Cramér-Lundberg risk process | Diffusion approximation | Investment analysis | Probability of ruin |
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