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

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

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)

Cites Work

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• On the accuracy of phase-type approximations of heavy-tailed risk models
• Uniform ergodicity and strong stability estimates of homogeneous Markov chains
• Strong stability in a two-dimensional classical risk model with independent claims
• Queues and Risk Processes with Dependencies
• Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model

Cited In (7)

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

Uses Software

• ismev

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