Discrete-time risk processes with after-effects and association

DOI10.1080/15326340903517105MaRDI QIDQ3562371zbMATH OpenOpenAlexFDO

Authors George Zaphiropoulos, Michael A. Zazanis

Publication date 21 May 2010

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326340903517105

zbMATH Keywords

diffusion approximationinvariance principlerisk processesassociated random valuesclaims with after-effects

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

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Cites work

• A class of approximations of ruin probabilities
• A note on the strong law of large numbers for positively dependent random variables
• An Introduction to the Theory of Point Processes
• An invariance principle for certain dependent sequences
• Aspects of risk theory
• Association of Random Variables, with Applications
• Comparison methods for stochastic models and risks
• Correlation inequalities on some partially ordered sets
• Diffusion approximations in collective risk theory
• Normal fluctuations and the FKG inequalities
• Stochastic ordering and dependence in applied probability
• Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$

Cited in

(1)

• Analysis of a multivariate claim process

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