Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes

DOI10.1080/03610926.2011.581176zbMath1315.91032OpenAlexW1980002266MaRDI QIDQ2890084

Dmitrii S. Silvestrov, Erland Ekheden

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581176

zbMATH Keywords

rate of convergencecoupling methodCramér-Lundberg approximationreinsurance risk processreinsurance ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (2)

Improved Asymptotics for Ruin Probabilities ⋮ Quasi-stationary distributions for perturbed discrete time regenerative processes

Cites Work

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• Quasi-stationary phenomena in nonlinearity perturbed stochastic systems.
• An extension to the renewal theorem and an application to risk theory
• Cramér-Lundberg approximation for nonlinearly perturbed risk processes
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