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

DOI10.1080/03461230802673805zbMATH Open1224.91044OpenAlexW2142693061MaRDI QIDQ3077752FDOQ3077752

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

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zbMATH Keywords

Markov chainstrong stabilityrisk modelsruin probabilitiescontinuity estimatereversed process

Mathematics Subject Classification ID

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

Cites Work

• Sensitivity and convergence of uniformly ergodic Markov chains
• Computational methods in risk theory: a matrix-algorithmic approach
• Aspects of risk theory
• Some results on ruin probabilities in a two-dimensional risk model.
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• Comparison of perturbation bounds for the stationary distribution of a Markov chain
• The problem of stability in queueing theory
• Improved bounds for a condition number for Markov chains
• Strong stability and perturbation bounds for discrete Markov chains
• On a question concerning condition numbers for Markov chains
• The problem of stability in insurance mathematics
• Monotone Stochastic Recursions and their Duals
• The bi-atomic uniform minimal solution of Schmitter's problem
• Continuity Estimates for Ruin Probabilities

Cited In (7)

• Semi-parametric approach for approximating the ruin probability of classical risk models with large claims
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• 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
• Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
• Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system
• SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

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