The problem of stability in insurance mathematics

DOI10.1016/0167-6687(87)90011-4zbMath0648.62103OpenAlexW1967541487MaRDI QIDQ1105309

Jan Beirlant, Svetlozar T. Rachev

Publication date: 1987

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90011-4

zbMATH Keywords

probability metricscompound distributionrisk theorytotal claim amountclaim epochsclaim sizesmodel inputmodel outputstability of the input model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Sensitivity of the stability bound for ruin probabilities to claim distributions ⋮ The stability of the probability of ruin ⋮ Semi-parametric approach for approximating the ruin probability of classical risk models with large claims ⋮ Continuity inequalities for multidimensional renewal risk models ⋮ Quality of the Approximation of Ruin Probabilities Regarding to Large Claims ⋮ Strong stability in a two-dimensional classical risk model with independent claims

Cites Work

• An ideal metric and the rate of convergence to a self-similar process
• Testing whether survival function is harmonic new better than used in expectation
• Probability Metrics
• The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications
• METRIC DISTANCES IN SPACES OF RANDOM VARIABLES AND THEIR DISTRIBUTIONS
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