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Impact of the stability bound choice on the approximation of ruin probabilities. (English. French summary) Zbl 1354.91056

Summary: This paper aims to establish the effect of the choice of a stability bound for the ruin probability on the quality of the approximation of the characteristics (ruin probabilities) of two classical risk models to approach (ideal an perturbed models) regarding to different large claims. In particular, we use two versions of the strong stability method: strong stability of a Markov chain and strong stability of a Lindley process. A comparative study, based on numerical results obtained by simulation, is performed between the two versions.

MSC:

91B30 Risk theory, insurance (MSC2010)
60K25 Queueing theory (aspects of probability theory)
62G32 Statistics of extreme values; tail inference
62P05 Applications of statistics to actuarial sciences and financial mathematics
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Full Text: Euclid