Centro de Documentacion de Fundación MAPFRE - Simple continuity inequalities for ruin probability in the classical risk model

MAP20160032529

Simple continuity inequalities for ruin probability in the classical risk model / Evgueni Gordienko and Patricia Vázquez-Ortega

Sumario: A 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 801-814

I. Vázquez-Ortega, Patricia . II. Título.