An extension to the renewal theorem and an application to risk theory

DOI10.1214/aoap/1034625255zbMath0876.60072OpenAlexW2072594171MaRDI QIDQ1355738

Hanspeter Schmidli

Publication date: 10 November 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034625255

zbMATH Keywords

large deviationslimit theoremsrenewal theoremrisk theoryruin probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Renewal theory (60K05)

Related Items (10)

Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes ⋮ Controlled diffusion models for optimal dividend pay-out ⋮ Ruin probabilities in a Markovian shot-noise environment ⋮ Ruin probabilities for a regenerative Poisson gap generated risk process ⋮ On the Gerber-Shiu function and change of measure ⋮ Conditional law of risk processes given that ruin occurs ⋮ Tail Asymptotics of the Supremum of a Regenerative Process ⋮ A minimal uniform renewal theorem and transition phenomena for a nonhomogeneous perturbation of the renewal equation ⋮ Improvement of the stability of solutions of an inhomogeneous perturbed renewal equation on the semiaxis

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