Abstract. The Cramer–Lundberg model is considered as a model of insurance company. Since it is impossible to obtain an explicit solution for the function of non-bankruptcy probability of insurance company for an arbitrary distribution of the values of insurance claims, the authors consider the problem of estimating the convergence of the original non-bankruptcy probability to one that would be obtained by approximating the values of claim distribution function.

Keywords: Cramer–Lundberg model, risk process, convergence, ruin probability.