Large claims approximations for risk processes in a Markovian environment
DOI10.1016/0304-4149(93)00003-XzbMATH Open0814.60067OpenAlexW1998015333MaRDI QIDQ1343592FDOQ1343592
Søren Asmussen, Claudia Klüppelberg, Lotte Fløe Henriksen
Publication date: 18 June 1995
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(93)00003-x
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Cited In (24)
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- Risk theory in a Markovian environment
- Sampling at subexponential times, with queueing applications
- Critical sizing of LRU caches with dependent requests
- Large deviations results for subexponential tails, with applications to insurance risk
- Title not available (Why is that?)
- Tandem queues with subexponential service times and finite buffers
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
- Subexponential Asymptotics of the Stationary Distributions of GI/G/1-Type Markov Chains
- Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
- Power estimates for ruin probabilities
- Modelling of extremal events in insurance and finance
- Ruin Problems with Worsening Risks or with Infinite Mean Claims
- Ruin probabilities in perturbed risk models
- Interplay of insurance and financial risks in a stochastic environment
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- On the subexponential properties in stationary single-server queues: a Palm-martingale approach
- Upper and lower bounds for the solutions of Markov renewal equations
- Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
- Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
- On the absolute ruin in a MAP risk model with debit interest
- Moments of claims in a Markovian environment
- On a Generalization of the Risk Model with Markovian Claim Arrivals
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