Approximations in the problem of level crossing by a compound renewal process

DOI10.1134/S1064562418070232zbMATH Open1420.60114OpenAlexW2909272217MaRDI QIDQ1732073FDOQ1732073

Authors: Vsevolod K. Malinovskii 

Publication date: 15 March 2019

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562418070232

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zbMATH Keywords

compound renewal process

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

Cites Work

• Ruin probabilities
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• Analytical best upper bounds on stop-loss premiums
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Approximations for the probability of ruin within finite time
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Ruin probabilities expressed in terms of ladder height distributions

Cited In (8)

• Title not available (Why is that?)
• Level-crossing problems and inverse Gaussian distributions. Closed-form results and approximations
• The difference of two renewal processes level crossing and the infimum
• On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences
• Crossing time and renewal numbers of two PH-renewal processes
• Analytical approximations to the dynamics of cubic level crossing model
• The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences
• Approximate estimation methods for the moments of stochastic processes

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