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

zbMATH Open1164.60068MaRDI QIDQ3608288FDOQ3608288

Authors: D. S. Silvestrov 

Publication date: 28 February 2009

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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)

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
• Title not available (Why is that?)
• 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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