Study of a risk model based on the entrance process

DOI10.1016/j.spl.2004.10.028zbMath1067.62105OpenAlexW2066389497MaRDI QIDQ1776343

Jinxia Zhu, Zehui Li, Feng Chen

Publication date: 12 May 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.028

zbMATH Keywords

Nonhomogeneous Poisson processInsurance risk modelRisk processShot noise processStable random variable or distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process ⋮ Precise Large Deviations for the Actual Aggregate Loss Process ⋮ Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate ⋮ The limit property of a risk model based on entrance processes ⋮ Upper Bounds for the Ruin Probabilities of the Entrance-Based Risk Model ⋮ The limit behavior of a risk model based on entrance processes

Cites Work

• Aspects of risk theory
• Martingales and insurance risk
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