Publication date: Available online 21 June 2018
Source:Insurance: Mathematics and Economics
Author(s): E. Gordienko, P. Vázquez-Ortega
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.
Source:Insurance: Mathematics and Economics
Author(s): E. Gordienko, P. Vázquez-Ortega