具有指数索赔规模的Sparre Andersen风险模型破产时间密度的稳定性注意事项

Q4 Mathematics

Applicationes Mathematicae Pub Date : 2020-01-01 DOI:10.4064/am2412-9-2020

E. Gordienko, J. R. Chávez, P. Vázquez-Ortega

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引用次数: 0

摘要

．在本说明中，考虑了具有指数索赔规模的Sparre Andersen风险过程。在近似索赔间时间分布时，我们推导出破产时间密度偏差的上界。特别地，我们用经验密度来处理近似。在精算理论中，破产概率的重要性是众所周知的(见)。此外，在某些情况下，必须估计破产时间分布。问题出现了，因为在突然发生的情况下自然会发生索赔

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Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

. In this note, the Sparre Andersen risk process with exponential claim sizes is considered. We derive upper bounds for deviations of the ruin time density when approximating the inter-claim time distribution. In particular, we treat approximation by means of empirical densities. In actuarial theory the signiﬁcance of ruin probability is well-known (see Additionally, in certain the ruin time distribution has to estimated. problem arises, for in the cases of sudden natural when the of claims

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来源期刊

Applicationes Mathematicae Mathematics-Applied Mathematics

CiteScore

0.30

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0.00%

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