Measures of Risk for the Compound Poisson Risk Process with
Diffusion
Description
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)
.