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 expansionruin probabilityrisk processnonlinear perturbationsurplus 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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Cited in

(9)

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

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