The asymptotic behavior of the ruin probability within a random horizon

DOI10.1007/S10255-004-0174-YMaRDI QIDQ705091zbMATH OpenOpenAlexFDO

Authors Tao Jiang, Chenming Xu

Publication date 25 January 2005

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-004-0174-y

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Large deviations for heavy-tailed random sums in compound renewal model
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• On the Characteristics of the General Queueing Process, with Applications to Random Walk
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.

Cited in

(4)

• scientific article; zbMATH DE number 4180619 (Why is no real title available?)
• Asymptotics for the time of ruin in the war of attrition
• An asymptotic expression for the probability of ruin within finite time
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II

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