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

time of ruincompound Poisson model with diffusionmoments of the time to ruinprobability of ruinsubexponential distributions

Mathematics Subject Classification ID

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

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• Moments of the ruin time in a Lévy risk model

Cites work

• scientific article; zbMATH DE number 4055944 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
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• Asymptotics for sums of random variables with local subexponential behaviour
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• Functions of probability measures
• 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

(9)

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

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