Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Abstract

We deal with a generalization of the risk model with stochastic premiums where dividends are paid according to a constant dividend strategy and consider heuristic approximations for the ruin probability. To be more precise, we construct fiveand three-moment analogues to the De Vylder approximation. To this end, we obtain an explicit formula for the ruin probability in the case of exponentially distributed premium and claim sizes. Finally, we analyze the accuracy of the approximations for some typical distributions of premium and claim sizes using statistical estimates obtained by the Monte Carlo methods.