Large deviations for the time of ruin
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Recommendations
- Rough descriptions of ruin for a general class of surplus processes
- Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Estimates for the probability of ruin starting with a large initial reserve
- A large deviation estimate for ruin probabilities
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
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Discrete-time risk models on time series for count random variables
- Asymptotic results for renewal risk models with risky investments
- Ruin probabilities for Bayesian exchangeable claims processes
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