Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality

DOI10.1287/moor.19.2.410zbMath0801.60091MaRDI QIDQ4302595

Tomasz Rolski, Soren Asmussen

Publication date: 21 November 1994

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.19.2.410

zbMATH Keywords

periodicity; risk process; ruin probability; risk theory; Markov-modulated model; Cramér- Lundberg approximation

Mathematics Subject Classification ID

60K25: Queueing theory (aspects of probability theory)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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

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