This paper discusses five different ways to approximate the loss rate in a fundamental two class priority system, where each class has its own finite capacity buffer, as well as an exact approach. We identify the type of error one can expect by assuming that one, or both buffers are of infinite size. Furthermore, we investigate whether asymptotic based results can achieve the same level of accuracy as those based on the actual steady state probabilities. Three novel priority queueing models are introduced and efficient algorithms, relying on matrix analytic methods, are developed within this context. A comparative study based on numerical examples is also included.