Cramér-Lundberg approximation for nonlinearly perturbed risk processes

DOI10.1016/S0167-6687(99)00043-8zbMath0956.91044MaRDI QIDQ1974044

Mats Gyllenberg, Dmitrii S. Silvestrov

Publication date: 8 May 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

diffusion approximation; nonlinear perturbation; ruin probabilities; Cramér-Lundberg approximation; perturbed risk processes

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

60K05: Renewal theory

Related Items

Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues, Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time, Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes, Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes, Improved Asymptotics for Ruin Probabilities, Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes

Cites Work

• Conjugate processes and the simulation of ruin problems
• Aspects of risk theory
• Large deviations results for subexponential tails, with applications to insurance risk
• Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems
• Probabilities of ruin
• Ruin probabilities prepared for numerical calculation
• Classical numerical ruin probabilities
• A numerical illustration of differences between ruin probabilities originated in the ordinary and in the stationary cases
• Diffusion approximations in collective risk theory
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