15
Ruin Probabilities in Finite and Infinite Time
15.1
Introduction
15.2
Exact Ruin Probabilities in Infinite Time
15.3
Approximations of the Ruin Probability in Infinite Time
15.4
Numerical Comparison of the Infinite Time Approximations
15.5
Exact Ruin Probabilities in Finite Time
15.6
Approximations of the Ruin Probability in Finite Time
15.6.1
Monte Carlo Method
15.6.2
Segerdahl Normal Approximation
15.6.3
Diffusion Approximation
15.6.4
Corrected Diffusion Approximation
15.6.5
Finite Time De Vylder Approximation
15.6.6
Summary of the Approximations
15.7
Numerical Comparison of the Finite Time Approximations
Bibliography