Ruin probabilities via local adjustment coefficients

DOI10.2307/3215126MaRDI QIDQ4858680zbMATH OpenOpenAlexFDO

Authors Hanne Mandrup Nielsen, Søren Asmussen

Publication date 1 February 1996

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215126

zbMATH Keywords

martingalelarge deviationsrare eventsfast simulationLundberg inequalitystorage processslow Markov walk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(21)

• A risk model with multilayer dividend strategy
• Large deviations for estimators of unknown probabilities, with applications in risk theory
• A local limit theorem for the probability of ruin
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Large deviations results for subexponential tails, with applications to insurance risk
• Optimal reinsurance/investment problems for general insurance models
• RPA pathwise derivative estimation of ruin probabilities
• Monotone Stochastic Recursions and their Duals
• Importance sampling of heavy-tailed iterated random functions
• Phase-type distributions and risk processes with state-dependent premiums
• Ruin theory with compounding assets -- a survey
• A note on the adjustment coefficient in ruin theory
• On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
• Local ruin probability in a risk model with variable premium rates
• Linear stochastic fluid networks: rare-event simulation and Markov modulation
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Efficient rare-event simulation for perpetuities
• Confidence bounds for the adjustment coefficient
• A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
• Ruin probabilities of a surplus process described by PDMPs

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