Abstract
During the last two decades, new models were developed in actuarial sciences. Different notions of insurance company ruin (bankruptcy) and other objective functions evaluating the company performance were introduced. Several types of decision (such as dividend payment, reinsurance, investment) are used for optimization of company functioning. Therefore, it is necessary to ensure that the model under consideration is stable with respect to parameter fluctuation and perturbation of underlying stochastic processes. The aim of this paper is the description of methods for investigation of these problems and presentation of recent results concerning some insurance models. Numerical results are also included.
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Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 22, No. 3, pp. 19–35, 2018.
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Bulinskaya, E.V., Shigida, B.I. Sensitivity Analysis of Some Applied Probability Models. J Math Sci 254, 456–468 (2021). https://doi.org/10.1007/s10958-021-05318-1
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DOI: https://doi.org/10.1007/s10958-021-05318-1