Large deviations for the time-integrated negative parts of some processes

DOI10.1016/j.spl.2007.05.024zbMath1134.60020MaRDI QIDQ2475424

Claudio Macci

Publication date: 11 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.024

zbMATH Keywords

large deviations; Lévy process; ruin theory

Mathematics Subject Classification ID

60F10: Large deviations

Related Items

Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation, Some expressions of a generalized version of the expected time in the red and the expected area in red

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