Improved Asymptotics for Ruin Probabilities

DOI10.1007/978-3-319-06653-0_5MaRDI QIDQ3193126zbMATH OpenOpenAlexFDO

Authors D. S. Silvestrov

Publication date 15 October 2015

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-06653-0_5

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(9)

• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• The Cramér condition is necessary and sufficient for asymptotically exponential decrease of ruin probability
• Of happy and hapless regulators: the asymptotics of ruin.
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Improved analytical bounds for gambler's ruin probabilities
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
• Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
• Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk

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