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Simple continuity inequalities for ruin probability in the classical risk model

Recurso electrónico / Electronic resource
MARC record
Tag12Value
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001  MAP20160032529
003  MAP
005  20161123172507.0
008  161103e20160901bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20160013306‎$a‎Gordienko, Evgueni
24510‎$a‎Simple continuity inequalities for ruin probability in the classical risk model‎$c‎Evgueni Gordienko and Patricia Vázquez-Ortega
520  ‎$a‎A simple technique for continuity estimation for ruin probability in the compound Poisson risk model is proposed. The approach is based on the contractive properties of operators involved in the integral equations for the ruin probabilities. The corresponding continuity inequalities are expressed in terms of the Kantorovich and weighted Kantorovich distances between distribution functions of claims. Both general and light-tailed distributions are considered.
7001 ‎$0‎MAPA20160014327‎$a‎Vázquez-Ortega, Patricia
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 801-814