Large deviations for risk processes with reinsurance
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Publication:5754682
DOI10.1239/JAP/1158784941zbMATH Open1126.60024OpenAlexW1975012142MaRDI QIDQ5754682FDOQ5754682
Authors: Claudio Macci, G. Stabile 
Publication date: 23 August 2007
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1158784941
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Cites Work
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
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- Large deviations for vector-valued Lévy processes
- Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
- Optimal Dynamic XL Reinsurance
- Lundberg parameters for non standard risk processes
- Large deviations and overflow probabilities for the general single-server queue, with applications
- Some mathematical aspects of reinsurance
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Asymptotic results for perturbed risk processes with delayed claims
Cited In (14)
- Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
- Title not available (Why is that?)
- Precise deviations for Cox processes with a shot noise intensity
- Sample path large and moderate deviations for risk model with delayed claims
- Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables
- Large deviation of a partly shifted risk process
- Title not available (Why is that?)
- Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
- Large deviations for a model of excess of loss re-insurance
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- On probabilities of large claims that are compound Poisson distributed
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Large deviations for the time-integrated negative parts of some processes
- On the functional and local limit theorems for Markov modulated compound Poisson processes
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