Hitting probabilities and large deviations
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Publication:674519
DOI10.1214/aop/1041903218zbMath0879.60021OpenAlexW2116276640MaRDI QIDQ674519
Publication date: 22 January 1998
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1041903218
Related Items (26)
Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors ⋮ Cramér asymptotics for finite time first passage probabilities of general Lévy processes ⋮ Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ First exit time for a discrete-time parallel queue ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Light tail asymptotics in multidimensional reflecting processes for queueing networks ⋮ RARE EVENT ANALYSIS AND EFFICIENT SIMULATION FOR A MULTI-DIMENSIONAL RUIN PROBLEM ⋮ Extremes of vector-valued Gaussian processes ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ De Vylder type approximation of the ruin probability for the insurer-reinsurer model ⋮ Hitting probabilities and large deviations ⋮ The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes ⋮ Optimal control and dependence modeling of insurance portfolios with Lévy dynamics ⋮ Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift ⋮ Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ First passage times of general sequences of random vectors: A large deviations approach ⋮ On the gain of collaboration in a two dimensional ruin problem ⋮ Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model ⋮ Ruin probability in a two-dimensional model with correlated Brownian motions ⋮ Logarithmic Asymptotics for Multidimensional Extremes Under Nonlinear Scalings ⋮ Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims ⋮ Unnamed Item
Cites Work
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- Hitting probabilities and large deviations
- Strong limit theorems of empirical distributions for large segmental exceedances of partial sums of Markov variables
- Large exceedances for multidimensional Lévy processes
- Limit theorems for first-passage times in linear and non-linear renewal theory
- Entropy, a useful concept in risk theory
- Limit distributions of maximal segmental score among Markov-dependent partial sums
- Rough limit results for level-crossing probabilities
- Convex Analysis
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