An asymptotic expression for the probability of ruin within finite time

DOI10.1214/aop/1176990954zbMath0703.60067OpenAlexW2041698848MaRDI QIDQ916213

Thomas Höglund

Publication date: 1990

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990954

zbMATH Keywords

large deviationboundary crossingrisk reserve process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Related Items (10)

Supermodular Order and Lundberg Exponents ⋮ Large deviation estimates for branching random walks ⋮ Ruin probabilities for risk process in a regime-switching environment ⋮ 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 ⋮ Tools to Estimate the First Passage Time to a Convex Barrier ⋮ Corrected normal approximation for the probability of ruin within finite time ⋮ A note on first passage probabilities of a L\'evy process reflected at a general barrier ⋮ Tail Asymptotics of the Supremum of a Regenerative Process ⋮ Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time

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