 Cybernetics and Systems Analysis /  Issue (2018, 54 (2))
Boldyreva V.O.,
Shevchenko G.M.
On the continuous dependence of non-bankruptcy probability on payment distribution function in the classical risk model The Cramer–Lundberg model is considered as a model of insurance company. Since it is impossible to obtain an explicit solution for the non-ruin probability function of insurance company for an arbitrary distribution of the values of insurance claims, the authors consider the problem of estimating the convergence of the original non-ruin probability to one that would be obtained by approximating the values of claim distribution function. © 2018, Springer Science+Business Media, LLC, part of Springer Nature. Keywords: convergence, Cramer–Lundberg model, risk process, ruin probability, Distribution functions, Insurance, Risk assessment, Arbitrary distribution, Continuous dependence, convergence, Explicit solutions, Insurance claims, Insurance companies, Risk process, Ruin Probability, Probability distributions
Cite:
Boldyreva V.O.,
Shevchenko G.M.
(2018). On the continuous dependence of non-bankruptcy probability on payment distribution function in the classical risk model. Cybernetics and Systems Analysis, 54 (2), 78-84. doi: https://doi.org/10.1007/s10559-018-0025-0 http://jnas.nbuv.gov.ua/article/UJRN-0000846640 [In Russian]. |
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