Continuity inequalities for multidimensional renewal risk models

E. Gordienko and P. Vázquez-Ortega

Insurance: Mathematics and Economics, 2018, vol. 82, issue C, 48-54

Abstract: In this paper we study the continuity properties of the surplus process in multidimensional renewal risk models. Under certain conditions on the distributions of claim sizes and inter-claim times we prove continuity (stability) inequalities expressed in terms of the total variation distance between the processes. The usage of the uniform metric is also discussed.

Keywords: Multidimensional renewal risk model; Continuity inequalities for surplus process; Probability metrics; Total variation distance; Approximating risk model (search for similar items in EconPapers)
JEL-codes: C3 G22 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:82:y:2018:i:c:p:48-54

DOI: 10.1016/j.insmatheco.2018.06.005

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