Continuity Estimates for Ruin Probabilities

DOI10.1080/034612301750077293zbMath0971.91038OpenAlexW2096814128MaRDI QIDQ2739852

Deimante Rusaityte, Vladimir Kalashnikov, Farida N. Enikeeva

Publication date: 16 September 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612301750077293

zbMATH Keywords

stabilitycontinuityMarkov chainstationary distributionreversed process representation

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

Related Items

Banach contraction principle and ruin probabilities in regime-switching models, SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL, Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model, Sensitivity of the stability bound for ruin probabilities to claim distributions, The stability of the probability of ruin, Semi-parametric approach for approximating the ruin probability of classical risk models with large claims, The morphing of fluid queues into Markov-modulated Brownian motion, Continuity inequalities for multidimensional renewal risk models, Strong stability in a two-dimensional classical risk model with independent claims, Functional sensitivity analysis of ruin probability in the classical risk models, Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001), Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

Cites Work

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• Markov chains and stochastic stability
• Aspects of risk theory
• Inequalities in Theorems of Ergodicity and Stability for Markov Chains with Common Phase Space. I
• Ruin probabilities expressed in terms of storage processes
• Rate modulation in dams and ruin problems