Ruin probabilities of small noise jump‐diffusions with heavy tails

DOI10.1002/asmb.696zbMath1164.60011OpenAlexW4248581475MaRDI QIDQ5901446

Claudio Macci

Publication date: 28 February 2009

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.696

zbMATH Keywords

copulaMarkov-additive processtelegrapher's processLundber's parameter

Mathematics Subject Classification ID

Large deviations (60F10)

Cites Work

• Unnamed Item
• Extremal behavior of regularly varying stochastic processes
• Asymptotic Probabilities of Large Deviations Due to Large Jumps of a Markov Process

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