scientific article; zbMATH DE number 1475711

zbMATH Open0954.60036MaRDI QIDQ4489978FDOQ4489978

Authors: Hanspeter Schmidli 

Publication date: 12 July 2000

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

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zbMATH Keywords

asymptoticsruin probabilityperturbed risk modelLévy process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Martingales with continuous parameter (60G44)

Cited In (11)

• Reduced-load equivalence for Gaussian processes
• Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
• Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
• Asymptotics of hybrid fluid queues with Lévy input
• Perturbed Risk Processes Analyzed as Fluid Flows
• Conditional law of risk processes given that ruin occurs
• Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
• Title not available (Why is that?)

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