Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

DOI10.4064/am2412-9-2020zbMath1483.91196OpenAlexW3101510162WikidataQ115481878 ScholiaQ115481878MaRDI QIDQ5031036

P. Vázquez-Ortega, Juan Ruiz de Chávez, Evgueni I. Gordienko

Publication date: 18 February 2022

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am2412-9-2020

zbMATH Keywords

kernel estimatorsprobability metricsSparre Andersen risk modelstability inequalitiesexponential claim sizesdensity of ruin time

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Cites Work

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• Surplus analysis of Sparre Andersen insurance risk processes
• Density estimation in the \(L^ \infty\) norm for dependent data with applications to the Gibbs sampler
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• New estimates of continuity in \(M/GI/1/\infty\) queues
• Banach contraction principle and ruin probabilities in regime-switching models
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model
• Continuity Estimates for Ruin Probabilities
• Strong stability in a two-dimensional classical risk model with independent claims
• SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL
• On the Density and Moments of the Time of Ruin with Exponential Claims
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Time Value of Ruin in a Sparre Andersen Model

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