Functional sensitivity analysis of ruin probability in the classical risk models

DOI10.1080/03461238.2021.1911840MaRDI QIDQ5861816zbMATH OpenOpenAlexFDO

Authors Fatah Cheurfa, Baya Takhedmit, Sofiane Ouazine, Karim Abbas

Publication date 2 March 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1911840

zbMATH Keywords

classical risk modelsMarkov risk boundsMonte Carlo simulationparameter uncertaintyruin probabilitysensitivity analysisSobol' indicesTaylor-series expansions

Mathematics Subject Classification ID

Risk models (general) (91B05)

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Cited in

(5)

• Reverse sensitivity testing: what does it take to break the model?
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• Volterra integral equations: an approach based on Lipschitz-continuity
• A Functional Approach for Ruin Probabilities
• Robust Actuarial Risk Analysis

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