Abstract
Correction terms are obtained for the diffusion approximation to one- and two-barrier ruin problems in finite and infinite time. The corrections involve moments of ladder-height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
10 articles.
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