Large deviations for the time of ruin
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DOI10.1239/JAP/1032374630zbMATH Open0947.60048OpenAlexW2102845033MaRDI QIDQ4944544FDOQ4944544
Authors: Harri Nyrhinen 
Publication date: 6 November 2000
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1032374630
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Cited In (13)
- A ruin model with dependence between claim sizes and claim intervals
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- A ruin model with random income and dependence between claim sizes and claim intervals
- Adjustment coefficient for risk processes in some dependent contexts
- Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
- Asymptotic results for first-passage times of some exponential processes
- Asymptotic ruin probabilities for risk processes with dependent increments.
- On a risk model with dependence between claim sizes and claim intervals
- Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
- Discrete-time risk models on time series for count random variables
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Asymptotic results for renewal risk models with risky investments
- Ruin probabilities for Bayesian exchangeable claims processes
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