Ruin problem and how fast stochastic processes mix

DOI10.1214/aoap/1042765661zbMath1022.60018OpenAlexW2079746585MaRDI QIDQ1872353

Paul Embrechts, Gennady Samorodnitsky

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1042765661

zbMATH Keywords

heavy tailsruin probabilityinsurance risksupremumnegative driftspeed of mixing

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

A Conversation With Paul Embrechts, Practices and issues in operational risk modeling under Basel II, Ruin probabilities and overshoots for general Lévy insurance risk processes, Optimal stopping behavior of equity-linked investment products with regime switching

Uses Software

• longmemo

Cites Work

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