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SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

Published online by Cambridge University Press:  05 May 2016

Evgueni Gordienko  and
Patricia Vázquez-Ortega
Evgueni Gordienko
Affiliation:
Departamento de Matemáticas, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, 09340 Iztapalapa, MéxicoD.F. E-mail: [email protected]
Patricia Vázquez-Ortega*
Affiliation:
Departamento de Matemáticas, Universidad Autónoma Metropolitana-Iztapalapa, Av. San Rafael Atlixco 186, Col. Vicentina, 09340 Iztapalapa, MéxicoD.F. E-mail: [email protected]
*
E-mail: [email protected]
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Abstract

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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.

Keywords

Risk modelinfinite-time ruin probabilitycontinuity inequalitiescontractive operatorsKantorovich's metric
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 46 , Issue 3 , September 2016 , pp. 801 - 814
Copyright
Copyright © Astin Bulletin 2016 

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