Applications of Ideal Metrics for Sums of i.i.d. Random Variables to the Problems of Stability and Approximation in Risk Theory

Svetlozar T. Rachev, Lev B. Klebanov, Stoyan V. Stoyanov and Frank J. Fabozzi
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Svetlozar T. Rachev: Stony Brook University, Department of Applied Mathematics and Statistics College of Business
Lev B. Klebanov: Charles University, Department of Probability and Statistics
Stoyan V. Stoyanov: EDHEC Business School EDHEC-Risk Institute
Frank J. Fabozzi: EDHEC Business School EDHEC-Risk Institute

Chapter Chapter 17 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 379-393 from Springer

Abstract: Abstract In this chapter, we present applications of ideal probability metrics to insurance risk theory. First, we describe and analyze themathematical framework.

Keywords: Insurance Risk Theory; Ideal Metal; Probability Metrics; Total Claim Amount; Output Model Elements (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-4869-3_17

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DOI: 10.1007/978-1-4614-4869-3_17

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