Power estimates for ruin probabilities

DOI10.1239/AAP/1127483744zbMATH Open1087.60038OpenAlexW2014027343MaRDI QIDQ5697199FDOQ5697199

Authors: Harri Nyrhinen 

Publication date: 17 October 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1127483744

Recommendations

• scientific article
• Estimation of ruin probabilities by means of hazard rates
• Bounds of ruin probabilities
• A large deviation estimate for ruin probabilities
• Power tailed ruin probabilities in the presence of risky investments.
• Simple approximations of ruin probabilities

zbMATH Keywords

heavy tailsdependencelarge deviationsRuin probabilityinsurance mathematics

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Large deviations results for subexponential tails, with applications to insurance risk
• The supremum of a negative drift random walk with dependent heavy-tailed steps.
• Title not available (Why is that?)
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Probability Inequalities for Sums of Independent Random Variables
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Ruin probabilities in the presence of heavy-tails and interest rates
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Large claims approximations for risk processes in a Markovian environment
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Title not available (Why is that?)
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Logarithmic asymptotics for the supremum of a stochastic process
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Rough descriptions of ruin for a general class of surplus processes
• Large deviations view points for heavy-tailed random walks
• Large deviations for generalized compound Poisson risk models and its bankruptcy moments
• On the typical level crossing time and path
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• First passage times of general sequences of random vectors: A large deviations approach

Cited In (6)

• An application of risk theory to mortgage lending
• On large deviations of multivariate heavy-tailed random walks
• Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
• On the ruin probabilities in a general economic environment
• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• The asymptotic ruin problem when the healthy and sick periods form an alternating renewal process

This page was built for publication: Power estimates for ruin probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697199)