De Vylder Approximations of Ruin Probability for the Model with Continuous Time in the Infinite Horizon
DOI:
https://doi.org/10.18559/SOEP.2015.11.10Keywords:
Risk, Insurances, ProbabilityAbstract
The article presents review of the research and the evolution of the De Vylder approximation. This method is based on the replacement of the risk process by another risk process with exponentially distributed claims such that the first three moments coincide. This idea was used also in the 4-gamma De Vylder approximation based on the replacement of the risk process by another risk process with gamma distributed claims such that the first four moments coincide.
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