Estimates for the probability of ruin starting with a large initial reserve

DOI10.1016/0167-6687(86)90024-7zbMath0607.62127OpenAlexW2020550785MaRDI QIDQ1085556

Lajos Horváth, Eric Willekens

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90024-7

zbMATH Keywords

diffusion approximationstrong approximationprobability of ruinrisk reserve processcollective risk theoryheavy traffic approximationsdistribution of the time to ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Strong limit theorems (60F15)

Related Items (3)

Invariance principles for renewal processes when only moments of low order exist ⋮ Stochastic differential equations for compounded risk reserves ⋮ On the estimation of the adjustment coefficient in risk theory via intermediate order statistics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Strong approximation of renewal processes
• Strong approximation of certain stopped sums
• Strong approximation of extended renewal processes
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Strong approximations of renewal processes and their applications
• Estimation of ruin probabilities
• On the Rate of Convergence in the Invariance Principle for Generalized Renewal Processes
• Approximations for the probability of ruin within finite time
• On the accuracy of Kingman's heavy traffic approximation in the theory of queues
• On Estimates of the Rate of Convergence in the Invariance Principle for Banach Spaces
• A class of approximations of ruin probabilities
• Diffusion approximations in collective risk theory
• The First Passage Problem for a Continuous Markov Process

This page was built for publication: Estimates for the probability of ruin starting with a large initial reserve