Large claims approximations for risk processes in a Markovian environment

DOI10.1016/0304-4149(93)00003-XzbMath0814.60067OpenAlexW1998015333MaRDI QIDQ1343592

Claudia Klüppelberg, Lotte Fløe Henriksen, Soren Asmussen

Publication date: 18 June 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)00003-x

zbMATH Keywords

Markov processsubexponential distributionsrisk processprobability of ruinasymptotic ruin probabilitynon-Cramér case

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (19)

Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion ⋮ Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations ⋮ Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ Modelling of extremal events in insurance and finance ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ Tandem queues with subexponential service times and finite buffers ⋮ Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains ⋮ Upper and lower bounds for the solutions of Markov renewal equations ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type ⋮ Power estimates for ruin probabilities ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ On the subexponential properties in stationary single-server queues: a Palm-martingale approach ⋮ Critical sizing of LRU caches with dependent requests ⋮ Small-time ruin for a financial process modulated by a Harris recurrent Markov chain ⋮ Ruin probabilities in perturbed risk models ⋮ Ruin Problems with Worsening Risks or with Infinite Mean Claims ⋮ Subexponential Asymptotics of the Stationary Distributions of GI/G/1-Type Markov Chains ⋮ Sampling at subexponential times, with queueing applications

Cites Work

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