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- W2792005628 abstract "We apply Banach Contraction Principle to approximate a vector Ψ of ruin probabilities in regime-switching models. A Markov chain is interpreted as a ‘switch’ that changes the amount and/or wait time distributions of claims. The insurer has a possibility to adapt the premium rates in response. An associated risk operator L is proven to be a contraction on a properly chosen complete metric space while Ψ is shown to be the unique fixed point of L within this space. Thus, by iterating L on any of its points, we can simultaneously approximate Ψ and control the error of approximation. Numerical examples confirm high accuracy of the resulting procedure." @default.
- W2792005628 created "2018-03-29" @default.
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- W2792005628 date "2018-05-01" @default.
- W2792005628 modified "2023-09-27" @default.
- W2792005628 title "Banach Contraction Principle and ruin probabilities in regime-switching models" @default.
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- W2792005628 doi "https://doi.org/10.1016/j.insmatheco.2018.02.005" @default.
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