On a class of approximations for ruin and waiting time probabilities

Authors:
Gordon E. Willmot
Affiliations:
Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1
Venue:
Operations Research Letters
Year:
1998

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Abstract

A generalized class of Tijms-type approximations for ruin and waiting time probabilities is discussed. Conditions are obtained under which the correct asymptotic right tail behavior is exhibited, thus providing an answer to a question raised in connection with the Tijms approximation. Gamma and IFR tail corrections are considered.