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Continuity inequalities for multidimensional renewal risk models

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  • Gordienko, E.
  • Vázquez-Ortega, P.

Abstract

In this paper we study the continuity properties of the surplus process in multidimensional renewal risk models. Under certain conditions on the distributions of claim sizes and inter-claim times we prove continuity (stability) inequalities expressed in terms of the total variation distance between the processes. The usage of the uniform metric is also discussed.

Suggested Citation

  • Gordienko, E. & Vázquez-Ortega, P., 2018. "Continuity inequalities for multidimensional renewal risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 48-54.
    • Handle: RePEc:eee:insuma:v:82:y:2018:i:c:p:48-54
    DOI: 10.1016/j.insmatheco.2018.06.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Multidimensional renewal risk model; Continuity inequalities for surplus process; Probability metrics; Total variation distance; Approximating risk model;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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