Ruin probabilities for a regenerative Poisson gap generated risk process
DOI10.1007/S13385-011-0002-8zbMATH Open1229.91151OpenAlexW2104208540MaRDI QIDQ635979FDOQ635979
Authors: Romain Biard, Søren Asmussen 
Publication date: 25 August 2011
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-011-0002-8
Recommendations
- Large deviations and finite time ruin probabilities for generalized renewal risk models
- Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
- Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
- On the probability and the time of insurance ruin
- Random time ruin probability for the renewal risk model with heavy-tailed claims
- Insensitivity to negative dependence of the finite time ruin probability for renewal models with constant interest force
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
- A cyclic approach on classical ruin model
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- On a risk model with dependence between claim sizes and claim intervals
Large deviations (60F10) Martingales with continuous parameter (60G44) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Applied Probability and Queues
- Residual life time at great age
- Ruin probabilities
- Large deviations results for subexponential tails, with applications to insurance risk
- Extremes on the discounted aggregate claims in a time dependent risk model
- On a risk model with dependence between interclaim arrivals and claim sizes
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
- Large deviations and overflow probabilities for the general single-server queue, with applications
- A ruin model with dependence between claim sizes and claim intervals
- The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
- Reduced load equivalence under subexponentiality
- An extension to the renewal theorem and an application to risk theory
- Tail probabilities for non-standard risk and queueing processes with subexponential jumps
Cited In (8)
- Ruin problem for a generalized Poisson process with reflection
- Tail asymptotics for dependent subexponential differences
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Computing survival probabilities based on stochastic differential models
- On exceedance times for some processes with dependent increments
- Ruin Problems with Worsening Risks or with Infinite Mean Claims
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Hazard rate model and statistical analysis of a compound point process.
This page was built for publication: Ruin probabilities for a regenerative Poisson gap generated risk process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635979)
