scientific article; zbMATH DE number 1165666

zbMATH Open0892.62078MaRDI QIDQ4396372FDOQ4396372

Søren Asmussen, Bjarne Højgaard

Publication date: 14 June 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

heavy tailsMarkov processruin probabilityrisk process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (8)

• Upper bound for finite-time ruin probability in a Markov-modulated market
• Sampling at subexponential times, with queueing applications
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• Ruin probabilities in perturbed risk models
• Localization of the spectrum and representation of solutions of linear dynamical systems
• Large claims approximations for risk processes in a Markovian environment
• Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.

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