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Some continuity estimates for ruin probability and other ruin-related quantities
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In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also applied to obtain desired continuity inequalities in the setting of continuous time surplus process perturbed by diffusion. In this framework, the ruin probability can be expressed as the convolution of a compound geometric distribution K with a diffusion term. A continuity inequality for K is derived and an iterative approximation for this ruin-related quantity is proposed. The results are illustrated by numerical examples.
Title: Some continuity estimates for ruin probability and other ruin-related quantities
Description:
In this paper we investigate continuity properties for ruin probability in the classical risk model.
Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin.
These results are also applied to obtain desired continuity inequalities in the setting of continuous time surplus process perturbed by diffusion.
In this framework, the ruin probability can be expressed as the convolution of a compound geometric distribution K with a diffusion term.
A continuity inequality for K is derived and an iterative approximation for this ruin-related quantity is proposed.
The results are illustrated by numerical examples.
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