Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
Volume 48 / 2021
Applicationes Mathematicae 48 (2021), 79-88
MSC: Primary 91B05; Secondary 60K10.
DOI: 10.4064/am2412-9-2020
Published online: 18 November 2020
Abstract
In this note, the Sparre Andersen risk process with exponential claim sizes is considered. We derive upper bounds for deviations of the ruin time density when approximating the inter-claim time distribution. In particular, we treat approximation by means of empirical densities.
