Burnecki, Krzysztof; Mista, Pawel; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2003
In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal...