Ruin probabilities via local adjustment coefficients

DOI10.2307/3215126zbMath0834.60099OpenAlexW4246386911MaRDI QIDQ4858680

Hanne Mandrup Nielsen, Soren Asmussen

Publication date: 1 February 1996

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

Full work available at URL: https://doi.org/10.2307/3215126

zbMATH Keywords

rare eventslarge deviationsmartingalestorage processfast simulationLundberg inequalityslow Markov walk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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