Strong stability in a two-dimensional classical risk model with independent claims
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Publication:3077752
DOI10.1080/03461230802673805zbMath1224.91044MaRDI QIDQ3077752
Publication date: 22 February 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230802673805
Markov chain; strong stability; risk models; ruin probabilities; continuity estimate; reversed process
62P05: Applications of statistics to actuarial sciences and financial mathematics
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SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL, Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes, Continuity inequalities for multidimensional renewal risk models, Sensitivity of the stability bound for ruin probabilities to claim distributions, Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
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