A large deviation estimate for ruin probabilities

DOI10.1080/03461238.1993.10413912zbMATH Open0786.62099OpenAlexW1975973872MaRDI QIDQ3142173FDOQ3142173

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

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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)

Cites Work

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• Asymptotic probabilities and differential equations
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• The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
• Ruin probabilities expressed in terms of storage processes
• The Recurrence Classification of Risk and Storage Processes

Cited In (16)

• Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
• Improved Asymptotics for Ruin Probabilities
• Title not available (Why is that?)
• Conditions for balance between survival and ruin
• Large deviations for the time of ruin
• A local limit theorem for the probability of ruin
• Large deviations results for subexponential tails, with applications to insurance risk
• Power estimates for ruin probabilities
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• 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
• Title not available (Why is that?)
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Ruin probability in the presence of risky investments
• A large deviation principle for the risk process with varying premium

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