SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

DOI10.1017/asb.2016.10zbMath1390.91185OpenAlexW2522748401MaRDI QIDQ4563785

P. Vázquez-Ortega, Evgueni I. Gordienko

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.10

zbMATH Keywords

risk modelinfinite-time ruin probabilitycontractive operatorscontinuity inequalitiesKantorovich's metric

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Related Items (5)

Banach contraction principle and ruin probabilities in regime-switching models ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ Continuity inequalities for multidimensional renewal risk models ⋮ Functional sensitivity analysis of ruin probability in the classical risk models ⋮ Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Sensitivity analysis on ruin probabilities with heavy-tailed claims
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Some results of ruin probability for the classical risk process
• Continuity Estimates for Ruin Probabilities
• Strong stability in a two-dimensional classical risk model with independent claims
• Inequalities in Theorems of Ergodicity and Stability for Markov Chains with Common Phase Space. II
• Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
• Two-sided bounds of ruin probabilities
• Mass transhipment problems and ideal metrics
• One-dimensional empirical measures, order statistics, and Kantorovich transport distances
• Sensitivity and convergence of uniformly ergodic Markov chains
• On robustness in risk theory

This page was built for publication: SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL