Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process (Q2876229): Difference between revisions

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English	Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process	scientific article

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scholarly article

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title

Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process (English)

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Communications in Statistics - Theory and Methods

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publication date

18 August 2014

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full work available at URL

https://serval.unil.ch/notice/serval:BIB_5C63D6C5433F

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zbMATH Keywords

Sparre Andersen risk model

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chi-process

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Gaussian process

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perturbed risk process

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finite-time ruin probability

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subexponential distribution

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MaRDI profile type

MaRDI publication profile

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cites work

Asymptotics of supremum distribution of a Gaussian process over a Weibullian time

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Archimedean copulas in finite and infinite dimensions -- with application to ruin problems

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Risk theory for the compound Poisson process that is perturbed by diffusion

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On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps

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Convolutions of Long-Tailed and Subexponential Distributions

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An Introduction to Heavy-Tailed and Subexponential Distributions

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Randomly weighted sums with dominated varying-tailed increments and application to risk theory

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The Time Value of Ruin in a Sparre Andersen Model

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Asymptotic behaviour of the finite-time ruin probability in renewal risk models

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Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

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Ruin probabilities in perturbed risk models

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Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation

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On convolution equivalence with applications

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The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

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On Erlang(2) Risk Process Perturbed by Diffusion

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Identifiers

zbMATH Open document ID

1293.91095

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DOI

10.1080/03610926.2012.759974

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2876229

@@ Property / cites work @@
+Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
+Normal rank
@@ Property / cites work @@
+Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
+Normal rank
@@ Property / cites work @@
+Convolutions of Long-Tailed and Subexponential Distributions
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums with dominated varying-tailed increments and application to risk theory
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of the finite-time ruin probability in renewal risk models
+Normal rank
@@ Property / cites work @@
+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in perturbed risk models
@@ Property / cites work: Ruin probabilities in perturbed risk models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
+Normal rank
@@ Property / cites work @@
+On convolution equivalence with applications
@@ Property / cites work: On convolution equivalence with applications / rank @@
+Normal rank
@@ Property / cites work @@
+The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
+Normal rank
@@ Property / cites work @@
+On Erlang(2) Risk Process Perturbed by Diffusion
@@ Property / cites work: On Erlang(2) Risk Process Perturbed by Diffusion / rank @@
+Normal rank