Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
From MaRDI portal
Publication:4715563
DOI10.1080/03461238.1996.10413968zbMath0864.62070OpenAlexW2026210046MaRDI QIDQ4715563
Publication date: 11 June 1997
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1996.10413968
upper boundsfinite time ruin probabilityasymptotic expressionprobabilities of large deviationsprobabilities of ruinstopped random walksAndersen's risk modellow moment conditions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)
Related Items (7)
Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Level premium rates as a function of initial capital ⋮ Approximations in the problem of level crossing by a compound renewal process ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ Approximations for Finite Horizon Ruin Probabilities in the Renewal Model ⋮ Stochastic bounds for the Sparre Andersen process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An asymptotic expression for the probability of ruin within finite time
- On the asymptotic distribution of the sum of a random number of independent random variables
- Approximations for the probability of ruin within finite time
- Calculation of the Deficiency of Asymptotically Efficient Tests
- Entropy, a useful concept in risk theory
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- Ruin probabilities expressed in terms of ladder height distributions
- Corrected normal approximation for the probability of ruin within finite time
- Some Limit Theorems for Large Deviations
- Probability Inequalities for Sums of Independent Random Variables
- Large deviations of sums of independent random variables
- Regularly varying functions
This page was built for publication: Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time