Ruin probabilities in perturbed risk models

DOI10.1016/S0167-6687(98)00011-0zbMath0907.90100MaRDI QIDQ1265920

Sabine Schlegel

Publication date: 1998

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

zbMATH Keywords

subexponential distributionsasymptotical behaviourruin functionnon-standard risk models

Mathematics Subject Classification ID

Related Items (20)

Characterizations on heavy-tailed distributions by means of hazard rate. ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment ⋮ Precise large deviations for sums of random variables with consistently varying tails ⋮ On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications ⋮ Tail asymptotics for the maximum of perturbed random walk ⋮ The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate ⋮ Precise large deviations for negatively associated random variables with consistently varying tails ⋮ A large deviation result for aggregate claims with dependent claim occurrences ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Diffusion approximations for the maximum of a perturbed random walk ⋮ A renewal theorem and supremum of a perturbed random walk ⋮ Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion ⋮ Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims ⋮ Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails ⋮ A new aspect of a risk process and its statistical inference ⋮ Precise large deviations for dependent random variables with heavy tails ⋮ On preserving the limit points of corresponding objects ⋮ On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion ⋮ Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

Cites Work

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• A note on martingale inequalities for fluid models
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Asymptotic results for multiplexing subexponential on-off processes
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps

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