Approximations for the probability of ruin within finite time

Abstract A number of approximations for the probability of ruin before time T are surveyed, some new ones are suggested and numerical comparisons with the exact values are given for the Poisson/Exponential case. The approximations include normal ones and diffusion types. A variant and refinement of the classical diffusion approximation is derived and found to have a quite remarkable fit in the situations of main interest in risk theory.

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