An asymptotic expression for the probability of ruin within finite time (Q916213)
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scientific article; zbMATH DE number 4153622
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| English | An asymptotic expression for the probability of ruin within finite time |
scientific article; zbMATH DE number 4153622 |
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An asymptotic expression for the probability of ruin within finite time (English)
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1990
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The author derives asymptotic expressions for the probability that a two- dimensional random walk crosses the ordinate y for the first time to the left of the abscissa x, as x and y tend to \(\infty\). Two applications are given, a large deviation result for the maximum of a one-dimensional random walk and asymptotic expressions for the distribution of the time of ruin in a risk reserve process.
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boundary crossing
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large deviation
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risk reserve process
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0.9487658
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0.9347892
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0.92976403
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0.92572653
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0.92075515
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