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

DOI10.1080/03461230802673805zbMath1224.91044MaRDI QIDQ3077752

Z. Benouaret, Djamil Aissani

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 chain; strong stability; risk models; ruin probabilities; continuity estimate; reversed process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Performance analysis approximation in a queueing system of type \(M/G/1\)
• The problem of stability in insurance mathematics
• The problem of stability in queueing theory
• Computational methods in risk theory: a matrix-algorithmic approach
• Aspects of risk theory
• The bi-atomic uniform minimal solution of Schmitter's problem
• Some results on ruin probabilities in a two-dimensional risk model.
• Improved bounds for a condition number for Markov chains
• Analytical best upper bounds on stop-loss premiums
• Strong stability and perturbation bounds for discrete Markov chains
• Continuity Estimates for Ruin Probabilities
• On a Question Concerning Condition Numbers for Markov Chains
• Taylor series expansions for stationary Markov chains
• Rate modulation in dams and ruin problems
• SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS
• Sensitivity and convergence of uniformly ergodic Markov chains
• Monotone Stochastic Recursions and their Duals
• Comparison of perturbation bounds for the stationary distribution of a Markov chain