A local asymptotic result for ruin probability of the compound Poisson model perturbed by diffusion

MaRDI QIDQ600333zbMATH OpenFDO

Authors Zhenhua Bao

Publication date 5 November 2010

Published in Southeast Asian Bulletin of Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptoticsruin probabilityheavy-tailed distributioncompound Poisson model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(10)

• Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• The local principle of large deviations for compound Poisson process with catastrophes
• Large deviations of general compound Poisson risk model perturbed by diffusion
• Tail asymptotics for Pollaczek-Khinchin type series with applications to ruin in perturbed model
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