NDLI: SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

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SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

Content Provider	Scilit
Author	Gordienko, Evgueni Vázquez-Ortega, Patricia
Copyright Year	2016
Description	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.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/2731029E8A4D128DDE230AB0C318C853/S0515036116000106a.pdf/div-class-title-simple-continuity-inequalities-for-ruin-probability-in-the-classical-risk-model-div.pdf
Ending Page	814
Page Count	14
Starting Page	801
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/asb.2016.10
Journal	ASTIN Bulletin
Issue Number	3
Volume Number	46
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2016-09-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Cybernetical Science Risk Model time Ruin Probability Continuity Inequalities Contractive Operators Kantorovich's Metric
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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