Publication:4379506

Publication date: 1 March 1998

Laplace transforms; random walks; martingales; large deviations; heavy tails; diffusion approximations; compound Poisson process; reinsurance; Markov additive processes; ruin probabilities; simulation methodology; renewal arrivals; risk processes; Lundberg conjugation; Pollaczeck-Khinchin formula; risk theory in a Markovian environment

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60G50: Sums of independent random variables; random walks

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60F10: Large deviations

60K15: Markov renewal processes, semi-Markov processes

60K37: Processes in random environments

60-02: Research exposition (monographs, survey articles) pertaining to probability theory

60K05: Renewal theory

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