Cramér-Lundberg approximation for nonlinearly perturbed risk processes

DOI10.1016/S0167-6687(99)00043-8MaRDI QIDQ1974044zbMATH OpenOpenAlexFDO

Authors Mats Gyllenberg, D. S. Silvestrov

Publication date 8 May 2000

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

Full work available at URL https://doi.org/10.1016/s0167-6687(99)00043-8

zbMATH Keywords

Cramér-Lundberg approximationdiffusion approximationnonlinear perturbationperturbed risk processesruin probabilities

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Renewal theory (60K05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Recommendations

• Publication:4489968
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• The perturbed renewal equation and diffusion type approximation for risk processes

Cites work

• A numerical illustration of differences between ruin probabilities originated in the ordinary and in the stationary cases
• Aspects of risk theory
• Classical numerical ruin probabilities
• Conjugate processes and the simulation of ruin problems
• Diffusion approximations in collective risk theory
• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 3646103 (Why is no real title available?)
• scientific article; zbMATH DE number 3671460 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 49599 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• scientific article; zbMATH DE number 1475700 (Why is no real title available?)
• scientific article; zbMATH DE number 1487750 (Why is no real title available?)
• scientific article; zbMATH DE number 1408894 (Why is no real title available?)
• scientific article; zbMATH DE number 1409938 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3390197 (Why is no real title available?)
• Large deviations results for subexponential tails, with applications to insurance risk
• Nonlinear perturbed renewal equations with application to a random walk
• Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems
• Probabilities of ruin
• Ruin probabilities prepared for numerical calculation

Cited in

(9)

• Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Coupling and explicit rate of convergence in Cramér-Lundberg approximation for reinsurance risk processes
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Improved Asymptotics for Ruin Probabilities
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• scientific article; zbMATH DE number 1475700 (Why is no real title available?)
• Nonlinearly perturbed stochastic processes and systems
• Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues

This page was built for publication: Cramér-Lundberg approximation for nonlinearly perturbed risk processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1974044)