Approximations of the ultimate ruin probability in the classical risk model using the Banach's fixed-point theorem and the continuity of the ruin probability

DOI10.14736/KYB-2022-2-0254MaRDI QIDQ5867196zbMATH OpenOpenAlexWikidataFDO

Authors Jaime Martínez Sánchez, Fernando Baltazar-Larios

Publication date 12 September 2022

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14736/kyb-2022-2-0254

zbMATH Keywords

Banach's fixed-point theoremclassical risk modelcontinuity of ruin probabilityprobabilistic metricultimate ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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Cited in

(4)

• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Numerical methods applied to ruin probability in an Erlang(2) risk process with Weibull loss distribution
• Some continuity estimates for ruin probability and other ruin-related quantities
• Numerical approximation of ruin probability in the Cramér-Lundberg model

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