On the Continuous Dependence of Non-Ruin Probability on Claim Distribution Function in the Classical Risk Model

Abstract

The Cramer–Lundberg model is considered as a model of insurance company. Since it is impossible to obtain an explicit solution for the non-ruin probability function of insurance company for an arbitrary distribution of the values of insurance claims, the authors consider the problem of estimating the convergence of the original non-ruin probability to one that would be obtained by approximating the values of claim distribution function.