Functional sensitivity analysis of ruin probability in the classical risk models

DOI10.1080/03461238.2021.1911840zbMath1485.91054OpenAlexW3154859397MaRDI QIDQ5861816

Karim Abbas, Fatah Cheurfa, Sofiane Ouazine, Baya Takhedmit

Publication date: 2 March 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.1911840

zbMATH Keywords

sensitivity analysisMonte Carlo simulationruin probabilityparameter uncertaintySobol' indicesTaylor-series expansionsclassical risk modelsMarkov risk bounds

Mathematics Subject Classification ID

Risk models (general) (91B05)

Related Items (1)

Volterra integral equations: an approach based on Lipschitz-continuity

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