Ruin problem and how fast stochastic processes mix

DOI10.1214/aoap/1042765661zbMath1022.60018OpenAlexW2079746585MaRDI QIDQ1872353

Paul Embrechts, Gennady Samorodnitsky

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1042765661

zbMATH Keywords

heavy tailsruin probabilityinsurance risksupremumnegative driftspeed of mixing

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (4)

A Conversation With Paul Embrechts ⋮ Practices and issues in operational risk modeling under Basel II ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Optimal stopping behavior of equity-linked investment products with regime switching

Uses Software

• longmemo

Cites Work

• Ruin probability with claims modeled by a stationary ergodic stable process.
• Tail probabilities of subadditive functionals of Lévy processes.
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• An Extremal Problem in Probability Theory
• Subexponentiality and infinite divisibility
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• Large deviations of sums of independent random variables
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