Power estimates for ruin probabilities

DOI10.1239/AAP/1127483744zbMath1087.60038OpenAlexW2014027343MaRDI QIDQ5697199

Harri Nyrhinen

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1239/aap/1127483744

zbMATH Keywords

large deviationsheavy tailsdependenceRuin probabilityinsurance mathematics

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10)

Related Items (4)

Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory ⋮ Estimating tails of independently stopped random walks using concave approximations of hazard functions ⋮ On large deviations of multivariate heavy-tailed random walks ⋮ An application of risk theory to mortgage lending

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