Zina Benouaret and Djamil Aissani
Stability Bound of Ruin Probability in a Reduced TwoDimensional Risk Model
85 - 88
2018
12
5
International Journal of Physical and Mathematical Sciences
https://publications.waset.org/pdf/10009078
https://publications.waset.org/vol/137
World Academy of Science, Engineering and Technology
In this work, we introduce the qualitative and
quantitative concept of the strong stability method in the risk process
modeling two lines of business of the same insurance company or
an insurance and reinsurance companies that divide between them
both claims and premiums with a certain proportion. The approach
proposed is based on the identification of the ruin probability
associate to the model considered, with a stationary distribution of a
Markov random process called a reversed process. Our objective, after clarifying the condition and the perturbation
domain of parameters, is to obtain the stability inequality of the ruin
probability which is applied to estimate the approximation error of a
model with disturbance parameters by the considered model. In the
stability bound obtained, all constants are explicitly written.
Open Science Index 137, 2018