A large deviation estimate for ruin probabilities

DOI10.1080/03461238.1993.10413912MaRDI QIDQ3142173zbMATHOpenAlexFDO

Authors Boualem Djehiche

Publication date 12 December 1993

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1993.10413912

zbMATH Keywords

martingalesboundsstrong solutioncompound Poisson processprobability of ruinbalance equationgeneral risk modeldeterministic driftGirsanov-type transformations

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 46932 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Asymptotic probabilities and differential equations
• Ruin probabilities expressed in terms of storage processes
• The Recurrence Classification of Risk and Storage Processes
• The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule

Cited in

(16)

• Ruin probability in the presence of risky investments
• scientific article; zbMATH DE number 2169325 (Why is no real title available?)
• A local limit theorem for the probability of ruin
• Large deviations for the time of ruin
• Power estimates for ruin probabilities
• Improved Asymptotics for Ruin Probabilities
• Large deviations results for subexponential tails, with applications to insurance risk
• A large deviation principle for the risk process with varying premium
• Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
• An application of fractional differential equations to risk theory
• Stochastic duality of Markov processes: A study via generators
• Large deviations for a damped telegraph process
• Conditions for balance between survival and ruin
• scientific article; zbMATH DE number 5175937 (Why is no real title available?)
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

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