Large deviations for the time-integrated negative parts of some processes
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Publication:2475424
DOI10.1016/j.spl.2007.05.024zbMath1134.60020MaRDI QIDQ2475424
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
60F10: Large deviations
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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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