scientific article; zbMATH DE number 1475700
Let \(X(t), t\geq 0\), be a standard risk process defined by the equation \(X(t)= ct-\sum_{k=1}^{N(t)}Z_{k}, t\geq 0\), where \(c\) is a positive constant, \(Z_{k}, k=1,2,\ldots\), is a sequence of nonnegative i.i.d. random variables with distribution function \(G(u)\) and \(EZ_{k}=\mu>0\), \(N(t)\), \(t\geq 0\), is a Poisson process with parameter \(\lambda>0\); the sequence \(Z_{k}\), \(k=1,2,\ldots\), and the process \(N(t)\), \(t\geq 0\), are independent. One of the classical objects of study is the ruin probability \[ \Psi(u)=P\{u+\inf_{t\geq 0} X(t)>0\}, \] where \(u\geq 0\) is an initial capital. The authors consider a family \(X^{(\varepsilon)}(t)\), \(t\geq 0\), of risk processes depending on a small parameter \(\varepsilon\geq 0\). The process \(X^{(\varepsilon)}(t)\) is considered as a perturbation of the process \(X^{(0)}(t)\) and therefore the authors impose some weak continuity conditions on the characteristic quantities \(c^{(\varepsilon)}, \lambda^{(\varepsilon)}\) and the distributions \(G^{(\varepsilon)}(u)\) as functions of \(\varepsilon\) at the point \(\varepsilon=0\). The article deals with the asymptotic behaviour of the ruin probabilities \(\Psi^{(\varepsilon)}(u)\) when the initial capital \(u\to\infty\) and the perturbation parameter \(\varepsilon\to 0\). An extension of the classical Cramér-Lundberg and diffusion approximations to nonlinearly perturbed risk processes is presented. The approximations are supplemented by an explicit algorithm for calculating the corresponding asymptotic corrections which depend on the asymptotic balance between the rate of perturbation and the speed at which the initial capital tends to infinity.
- Cramér-Lundberg approximation for nonlinearly perturbed risk processes
- The perturbed renewal equation and diffusion type approximation for risk processes
- Asymptotic expansions for distributions of the surplus prior and at the time of ruin
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- On the ruin probabilities for a general perturbed renewal risk process
- Ruin probabilities in perturbed risk models
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- Cramér-Lundberg approximation for nonlinearly perturbed risk processes
- Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
- Improved Asymptotics for Ruin Probabilities
- Exponential asymptotical expansions for ruin probability in a classical risk process with non-polynomial perturbations
- Asymptotics of ruin probabilities for perturbed discrete time risk processes
- Asymptotic expansions for distributions of the surplus prior and at the time of ruin
- Nonlinearly perturbed stochastic processes and systems
- scientific article; zbMATH DE number 6122957 (Why is no real title available?)
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
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