Theory of Probability and Mathematical Statistics
Impact of the stress factor on the price of widow's pensions. Proofs
V. V. Golomozyĭ, M. V. Kartashov, Yu. M. Kartashov
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Abstract: This is a continuation of a recent paper by the authors (in Modern Problems in Insurance Mathematics, E. A. A. Series, Springer, New York, 2014, pp. 223-237) containing proofs of the results announced therein. We consider the model of joint life insurance with a stress factor. The proofs use the method of a maximal coupling for time inhomogeneous Markov chains. The stability of expectations of a function of a Markov moment is proved.
Keywords: Coupling method, maximal coupling, discrete Markov chains, stability of distributions of Markov chains
Bibliography: 1. Y. Kartashov, V. Golomozyĭ, and N. Kartashov, The impact of stress factors on the price of widow's pensions, Modern Problems in Insurance Mathematics (D. Silvestrov and A. Martin-Löf, eds.), E. A. A. Series, Springer, 2014, pp. 223-237.
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