Asymptotic estimates for the probability of ruin in a Poisson model with diffusion

DOI10.1016/0167-6687(93)90535-WzbMath0790.62098MaRDI QIDQ1318550

Noël Veraverbeke

Publication date: 28 June 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

diffusionasymptotic estimatesubexponential distributionsadjustment coefficientprobability of ruinextended risk modeltail of the claimsize distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (20)

Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment ⋮ The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion ⋮ Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force ⋮ On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation ⋮ Bounds on the tails of convolutions of compound distributions ⋮ Threshold estimation for a spectrally negative Lévy process ⋮ Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion. ⋮ On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest ⋮ Some distributions for classical risk process that is perturbed by diffusion ⋮ Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion ⋮ On the ruin probability for the Cox correlated risk model perturbed by diffusion ⋮ A new aspect of a risk process and its statistical inference ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ Ruin probabilities in perturbed risk models ⋮ Risk processes perturbed by α-stable Lévy motion

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• On convolution tails
• Subexponentiality and infinite divisibility

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