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 (12)

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

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