Sensitivity of the stability bound for ruin probabilities to claim distributions

DOI10.1007/S11009-018-9675-7zbMATH Open1437.91459OpenAlexW2895774457MaRDI QIDQ2176368FDOQ2176368

Authors Mouloud Cherfaoui, Aïcha Bareche

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9675-7

zbMATH Keywords

risk modelapproximationruin probabilitystrong stabilityheavy-tailed distributions

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)

Recommendations

• Impact of the stability bound choice on the approximation of ruin probabilities
• Quality of the approximation of ruin probabilities regarding to large claims
• The stability of the probability of ruin
• Functional sensitivity analysis of ruin probability in the classical risk models
• Sensitivity analysis of some applied probability models

Cites work

• scientific article; zbMATH DE number 3839076 (Why is no real title available?)
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• Risk models with extremal subexponentiality
• Ruin probabilities
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• Stochastic duality of Markov processes: A study via generators
• Strong stability in a two-dimensional classical risk model with independent claims
• Strongly stable Markov chains
• The problem of stability in insurance mathematics
• Uniform ergodicity and strong stability estimates of homogeneous Markov chains

Cited in

(7)

• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
• The stability of the probability of ruin
• Semi-parametric approach for approximating the ruin probability of classical risk models with large claims
• Quality of the approximation of ruin probabilities regarding to large claims
• Impact of the stability bound choice on the approximation of ruin probabilities
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions

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Uses Software

• ismev

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