Simple approximations of ruin probabilities
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Publication:1584513
DOI10.1016/S0167-6687(99)00050-5zbMath0986.62086MaRDI QIDQ1584513
Publication date: 18 February 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)
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Cites Work
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Aspects of risk theory
- Large deviations results for subexponential tails, with applications to insurance risk
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- On the tails of waiting-time distributions
- A class of approximations of ruin probabilities
- A remark on ‘A class of approximations of ruin probabilities’
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