Author:
Gordienko Evgueni,Vázquez-Ortega Patricia
Abstract
AbstractA 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献