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Dal'nevostochnyi Matematicheskii Zhurnal, 2010, Volume 10, Number 2, Pages 153–161
(Mi dvmg66)
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Continuity theorems and algorithmical problems in classical risk model
T. A. Kalmykova, Yu. N. Kharchenko, G. Sh. Tsitsiashvili Institute of Applied Mathematics, Far-Eastern Branch of the Russian Academy of Sciences
Abstract:
In this paper an analog of the Bernstein theorem about an approximation of a probability distribution by a mixture of exponential distribution is proved in the metric $L_1$. Different generalizations of classical risk model on a case of dependent financial and insurance risks are constructed. In this case a possibility of a paralleling of algorithms of ruin probability calculation is analyzed.
Key words:
classical risk model, ruin probability, mixtures of exponential distributions.
Received: 21.05.2010
Citation:
T. A. Kalmykova, Yu. N. Kharchenko, G. Sh. Tsitsiashvili, “Continuity theorems and algorithmical problems in classical risk model”, Dal'nevost. Mat. Zh., 10:2 (2010), 153–161
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https://www.mathnet.ru/eng/dvmg66 https://www.mathnet.ru/eng/dvmg/v10/i2/p153
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Abstract page: | 311 | Full-text PDF : | 76 | References: | 46 | First page: | 1 |
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