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

zbMATH Open1212.91029MaRDI QIDQ600333FDOQ600333

Authors: Zhenhua Bao 

Publication date: 5 November 2010

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

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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)

Cited In (10)

• Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails
• The local principle of large deviations for compound Poisson process with catastrophes
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• 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
• The asymptotic relationships of the ruin probabilities in the classic risk model perturbed by diffusions under heavy-tailed claims
• Title not available (Why is that?)
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• Title not available (Why is that?)
• A local theorem for ruin probabilities in a renewal risk model perturbed by diffusions

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