SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

Evgueni Gordienko and Patricia Vázquez-Ortega

ASTIN Bulletin, 2016, vol. 46, issue 3, 801-814

Abstract: 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.

Date: 2016
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