In this paper we introduce a generalization of the De Vylder approximation of the ruin probability. Here the risk process is described in the language of a continuous time random walk. Our idea of approximation is to replace the risk process with the one with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal claims. We show that the proposed 4-moment gamma approximation works better than the original one.

PACS numbers: 05.40.--a, 02.50.Ey, 05.45.--a