Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion

DOI10.1007/S11009-010-9185-8MaRDI QIDQ429991zbMATH OpenOpenAlexFDO

Authors Vaios Dermitzakis, Konstadinos G. Politis

Publication date 20 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9185-8

zbMATH Keywords

compound Poisson model with diffusionmoments of the time to ruinprobability of ruinsubexponential distributionstime of ruin

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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• Lundberg-type bounds and asymptotics for the moments of the time to ruin
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• A local asymptotic result for ruin probability of the compound Poisson model perturbed by diffusion
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• Moments of the ruin time in a Lévy risk model

Cites work

• A Probabilistic Look at the Wiener--Hopf Equation
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• Approximations for the moments of ruin time in the compound Poisson model
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• Asymptotics for sums of random variables with local subexponential behaviour
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Functions of probability measures
• scientific article; zbMATH DE number 4055944 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• Nonexponential asymptotics for the solutions of renewal equations, with applications
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• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The moments of ruin time in the classical risk model with discrete claim size distribution
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(10)

• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Threshold estimation for a spectrally negative Lévy process
• Moments of the ruin time in a Lévy risk model
• scientific article; zbMATH DE number 5846722 (Why is no real title available?)
• On the moments of iterated tail
• A local asymptotic result for ruin probability of the compound Poisson model perturbed by diffusion
• On an insurance ruin model with a causal dependence structure and perturbation
• Moment diagnostics for NBUE/NWUE ageing of the conditional time to ruin in the classical Cramér-Lundberg risk model
• Tail asymptotics for Pollaczek-Khinchin type series with applications to ruin in perturbed model
• Approximations for the moments of ruin time in the compound Poisson model

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