Strong stability in a two-dimensional classical risk model with independent claims

DOI10.1080/03461230802673805MaRDI QIDQ3077752zbMATHOpenAlexFDO

Authors Z. Benouaret, D. Aïssani

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

zbMATH Keywords

Markov chainstrong stabilityrisk modelsruin probabilitiescontinuity estimatereversed process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Monotone Stochastic Recursions and their Duals
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• Rate modulation in dams and ruin problems
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• Sensitivity and convergence of uniformly ergodic Markov chains
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• Strong stability and perturbation bounds for discrete Markov chains
• Taylor series expansions for stationary Markov chains
• The bi-atomic uniform minimal solution of Schmitter's problem
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• The problem of stability in queueing theory

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
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• Semi-parametric approach for approximating the ruin probability of classical risk models with large claims
• Continuity inequalities for multidimensional renewal risk models
• Simple continuity inequalities for ruin probability in the classical risk model
• Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system

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