Large deviations for the time of ruin

DOI10.1239/jap/1032374630zbMath0947.60048OpenAlexW2102845033MaRDI QIDQ4944544

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

zbMATH Keywords

importance samplinglarge deviations principleruin problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10)

Related Items (11)

Finite and infinite time ruin probabilities in a stochastic economic environment. ⋮ A ruin model with random income and dependence between claim sizes and claim intervals ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ Adjustment coefficient for risk processes in some dependent contexts ⋮ Asymptotic ruin probabilities for risk processes with dependent increments. ⋮ Asymptotic results for renewal risk models with risky investments ⋮ Asymptotic results for first-passage times of some exponential processes ⋮ On a risk model with dependence between claim sizes and claim intervals ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ A ruin model with dependence between claim sizes and claim intervals ⋮ Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

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