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

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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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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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