A large deviation estimate for ruin probabilities (Q3142173): Difference between revisions
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Property / cites work: Ruin probabilities expressed in terms of storage processes / rank | |||
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Property / cites work: Q3868650 / rank | |||
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Property / cites work: The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule / rank | |||
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Property / cites work: The Recurrence Classification of Risk and Storage Processes / rank | |||
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Property / cites work: Asymptotic probabilities and differential equations / rank | |||
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Property / cites work: Q4086303 / rank | |||
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Property / cites work: Q3997055 / rank | |||
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Latest revision as of 10:40, 22 May 2024
scientific article
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English | A large deviation estimate for ruin probabilities |
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A large deviation estimate for ruin probabilities (English)
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12 December 1993
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martingales
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general risk model
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balance equation
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compound Poisson process
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deterministic drift
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strong solution
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Girsanov-type transformations
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bounds
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probability of ruin
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