scientific article; zbMATH DE number 1475700

MaRDI QIDQ4489968zbMATH OpenFDO

Authors Mats Gyllenberg, D. S. Silvestrov

Publication date 12 July 2000

zbMATH Keywords

perturbationdiffusion approximationsrenewal equationrisk processesCramér-Lundberg approximation

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Renewal theory (60K05)

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(10)

• Improved Asymptotics for Ruin Probabilities
• scientific article; zbMATH DE number 6122957 (Why is no real title available?)
• Asymptotic expansions for distributions of the surplus prior and at the time of ruin
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Cramér-Lundberg approximation for nonlinearly perturbed risk processes
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Exponential asymptotical expansions for ruin probability in a classical risk process with non-polynomial perturbations
• Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
• Nonlinearly perturbed stochastic processes and systems

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