The problem of stability in insurance mathematics

J. Beirlant, S. T. Rachev

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

Any well-defined portfolio in insurance mathematics can be separated into input elements (e.g., claimepochs, claimsizes) and output elements (e.g., total claim amount). In the context of probability metrics, the general question of stability of the input model, and its throughput towards the output elements is raised.

Original languageEnglish
Pages (from-to)179-188
Number of pages10
JournalInsurance Mathematics and Economics
Volume6
Issue number3
DOIs
StatePublished - Jul 1987

Keywords

  • Compound distribution
  • Probability metrics
  • Stability

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