The asymptotic behavior of the ruin probability within a random horizon

DOI10.1007/S10255-004-0174-YzbMATH Open1134.91482OpenAlexW2005652671MaRDI QIDQ705091FDOQ705091

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

Recommendations

• On the asymptotics of the ruin probability
• An asymptotic expression for the probability of ruin within finite time
• The asymptotic behavior for the ruin probability in the classical risk model
• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• Finite horizon ruin probabilities for random walks with heavy tailed increments
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• Uniform asymptotics of the finite-time ruin probability for all times
• Publication:3203899
• A note on an asymptotic formula for the ruin probability

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• An asymptotic expression for the probability of ruin within finite time
• Asymptotics for the time of ruin in the war of attrition
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II
• Title not available (Why is that?)

This page was built for publication: The asymptotic behavior of the ruin probability within a random horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q705091)