Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7354525 | Insurance: Mathematics and Economics | 2018 | 22 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
E. Gordienko, P. Vázquez-Ortega,