Large claims approximations for risk processes in a Markovian environment
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Cites work
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- Asymptotic ruin probabilities when exponential moments do not exist
- Computational methods in risk theory: a matrix-algorithmic approach
- Convolution tails, product tails and domains of attraction
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Estimation of ruin probabilities by means of hazard rates
- Exponential inequalities for ruin probabilities in the Cox case
- Finite-time Lundberg inequalities in the Cox case
- Ladder heights and the Markov-modulated M/G/1 queue
- Markov processes whose steady state distribution is matrix-exponential with an application to the GI/PH/1 queue
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
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- Ruin estimates for large claims
- Subexponential distributions and integrated tails
- Subexponentiality and infinite divisibility
- Waiting-time tail probabilities in queues with long-tail service-time distributions
Cited in
(26)- scientific article; zbMATH DE number 1547733 (Why is no real title available?)
- Risk theory in a Markovian environment
- Sampling at subexponential times, with queueing applications
- Subexponential asymptotics of the stationary distributions of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
- Critical sizing of LRU caches with dependent requests
- Large deviations results for subexponential tails, with applications to insurance risk
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- Tandem queues with subexponential service times and finite buffers
- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
- 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
- On the absolute ruin in a map risk model with debit interest
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Ruin probabilities for risk process in a regime-switching environment
- 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
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
- Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
- Moments of claims in a Markovian environment
- On a Generalization of the Risk Model with Markovian Claim Arrivals
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