Continuity theorems and algorithmical problems in classical risk model
T. A. Kalmykova, Yu. N. Kharchenko, G. Sh. Tsitsiashvili
2010, issue 2, P. 153–161
|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.|
Keywords: classical risk model, ruin probability, mixtures of exponential distributions
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