Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
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Publication:1902631
DOI10.1016/0167-6687(95)00003-BzbMath0837.62087MaRDI QIDQ1902631
Publication date: 20 May 1996
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
diffusionasymptotic expressionsmartingale methodsexponential familyrisk processruin probabilityCramer-Lundberg approximationchange of measure techniquesexponential tiling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Renewal theory (60K05)
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Cites Work
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- Risk theory for the compound Poisson process that is perturbed by diffusion
- Aspects of risk theory
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Finite-time Lundberg inequalities in the Cox case
- A CONVEXITY PROPERTY OF POSITIVE MATRICES
- Exponential inequalities for ruin probabilities in the Cox case
- Risk theory in a Markovian environment
- Lundberg inequalities for a Cox model with a piecewise constant intensity
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