A large deviation estimate for ruin probabilities (Q3142173): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/03461238.1993.10413912 / rank
 
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Property / OpenAlex ID: W1975973872 / rank
 
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Property / cites work: Ruin probabilities expressed in terms of storage processes / rank
 
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Latest revision as of 11:40, 22 May 2024

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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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