A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
This article considers the problem of evaluating
infinite-time (or finite-time) ruin probability under a given compound
Poisson surplus process by approximating the claim size distribution
by a finite mixture exponential, say Hyperexponential, distribution. It
restates the infinite-time (or finite-time) ruin probability as a solvable
ordinary differential equation (or a partial differential equation).
Application of our findings has been given through a simulation study.
Ruin probability, compound Poisson processes,
mixture exponential (hyperexponential) distribution, heavy-tailed