Ruin probabilities via local adjustment coefficients
DOI10.2307/3215126zbMATH Open0834.60099OpenAlexW4246386911MaRDI QIDQ4858680FDOQ4858680
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
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Monte Carlo methods (65C05) Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Cited In (21)
- Confidence bounds for the adjustment coefficient
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- A local limit theorem for the probability of ruin
- RPA pathwise derivative estimation of ruin probabilities
- Local ruin probability in a risk model with variable premium rates
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Large deviations results for subexponential tails, with applications to insurance risk
- A note on the adjustment coefficient in ruin theory
- Efficient rare-event simulation for perpetuities
- A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Optimal reinsurance/investment problems for general insurance models
- Monotone Stochastic Recursions and their Duals
- Importance sampling of heavy-tailed iterated random functions
- A risk model with multilayer dividend strategy
- Ruin theory with compounding assets -- a survey
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate
- Ruin probabilities of a surplus process described by PDMPs
- Phase-type distributions and risk processes with state-dependent premiums
- Large deviations for estimators of unknown probabilities, with applications in risk theory
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