Asymptotic expansions for distributions of the surplus prior and at the time of ruin

MaRDI QIDQ3608288zbMATH OpenFDO

Authors D. S. Silvestrov

Publication date 28 February 2009

zbMATH Keywords

asymptotic expansionnonlinear perturbationrisk processruin probabilitysurplus at the time of ruinsurplus prior

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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(10)

• Exact and approximate properties of the distribution of surplus before and after ruin
• Explicit expressions for some distributions related to ruin problems
• Improved Asymptotics for Ruin Probabilities
• Exponential asymptotical expansions for ruin probability in a classical risk process with non-polynomial perturbations
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• Rough descriptions of ruin for a general class of surplus processes
• scientific article; zbMATH DE number 1475700 (Why is no real title available?)
• Nonlinearly perturbed stochastic processes and systems
• Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates

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