An asymptotic expression for the probability of ruin within finite time
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Publication:916213
DOI10.1214/aop/1176990954zbMath0703.60067OpenAlexW2041698848MaRDI QIDQ916213
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
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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