Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
DOI10.1080/03610926.2012.759974zbMATH Open1293.91095OpenAlexW2059170541MaRDI QIDQ2876229FDOQ2876229
Authors: Lanpeng Ji, Enkelejd Hashorva 
Publication date: 18 August 2014
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://serval.unil.ch/notice/serval:BIB_5C63D6C5433F
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Gaussian processfinite-time ruin probabilitysubexponential distributionSparre Andersen risk modelperturbed risk processchi-process
Cites Work
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
- The Time Value of Ruin in a Sparre Andersen Model
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- Ruin probabilities in perturbed risk models
- On convolution equivalence with applications
- Asymptotic behaviour of the finite-time ruin probability in renewal risk models
- The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
- Convolutions of Long-Tailed and Subexponential Distributions
- On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
- On Erlang(2) Risk Process Perturbed by Diffusion
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