Cramér-Lundberg approximation for nonlinearly perturbed risk processes

DOI10.1016/S0167-6687(99)00043-8zbMath0956.91044MaRDI QIDQ1974044

Mats Gyllenberg, Dmitrii S. Silvestrov

Publication date: 8 May 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

diffusion approximation; nonlinear perturbation; ruin probabilities; Cramér-Lundberg approximation; perturbed risk processes

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

60K05: Renewal theory

Related Items

Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues, Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes

Cites Work

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• Aspects of risk theory
• Large deviations results for subexponential tails, with applications to insurance risk
• Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems
• Probabilities of ruin
• Ruin probabilities prepared for numerical calculation
• Classical numerical ruin probabilities
• A numerical illustration of differences between ruin probabilities originated in the ordinary and in the stationary cases
• Diffusion approximations in collective risk theory
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