Power estimates for ruin probabilities

DOI10.1239/AAP/1127483744MaRDI QIDQ5697199zbMATHOpenAlexFDO

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

zbMATH Keywords

heavy tailsdependencelarge deviationsRuin probabilityinsurance mathematics

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 4143312
• 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

Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• First passage times of general sequences of random vectors: A large deviations approach
• Large claims approximations for risk processes in a Markovian environment
• Large deviations for generalized compound Poisson risk models and its bankruptcy moments
• Large deviations results for subexponential tails, with applications to insurance risk
• Large deviations view points for heavy-tailed random walks
• Logarithmic asymptotics for the supremum of a stochastic process
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• On the ruin probabilities in a general economic environment
• On the typical level crossing time and path
• 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
• Rough descriptions of ruin for a general class of surplus processes
• Ruin probabilities in the presence of heavy-tails and interest rates
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• The supremum of a negative drift random walk with dependent heavy-tailed steps.

Cited in

(6)

• Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
• 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
• An application of risk theory to mortgage lending
• On the ruin probabilities in a general economic environment
• On large deviations of multivariate heavy-tailed random walks

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)