Measures of Risk for the Compound Poisson Risk Process with Diffusion
Adjustment Coefficient
Distribution Information about Individual Claim Amounts
Hypo-Exponential Distribution
Compound Poisson Risk Process with Diffusion
Calculation or Approximation of the Probability of Ruin
Sensitivity of the Value and Tail Value at Ruin
Tail Value at Ruin
Value at Ruin
Based on the compound Poisson risk process that is perturbed by a Brownian motion, saddlepoint approximations to some measures of risk are provided. Various approximation methods for the probability of ruin are also included. Furthermore, exact values of both the risk measures as well as the probability of ruin are available if the individual claims follow a hypo-exponential distribution (i. e., if it can be represented as a sum of independent exponentially distributed random variables with different rate parameters). For more details see Gatto and Baumgartner (2014) <doi:10.1007/s11009-012-9316-5>.