A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

DOI10.1007/s11134-006-9000-yzbMath1178.60061MaRDI QIDQ877786

Ayalvadi J. Ganesh, Claudio Macci, Giovanni Luca Torrisi

Publication date: 3 May 2007

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-006-9000-y

zbMATH Keywords

Importance sampling; Poisson shot noise; Large deviations; Ruin probabilities; Risk processes

Mathematics Subject Classification ID

60F10: Large deviations

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

Cites Work

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