Cramér-Lundberg approximation for nonlinearly perturbed risk processes

DOI10.1016/S0167-6687(99)00043-8zbMath0956.91044OpenAlexW2040108921MaRDI QIDQ1974044

Mats Gyllenberg, Dmitrii S. Silvestrov

Publication date: 8 May 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00043-8

zbMATH Keywords

diffusion approximationnonlinear perturbationruin probabilitiesCramér-Lundberg approximationperturbed risk processes

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Renewal theory (60K05)

Related Items

Coupling and Explicit Rate of Convergence in Cramér–Lundberg Approximation for Reinsurance Risk Processes, Improved Asymptotics for Ruin Probabilities, Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes, Nonlinearly Perturbed Stochastic Processes and Systems, Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues, Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time, Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes

Cites Work

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• Probabilities of ruin
• Ruin probabilities prepared for numerical calculation
• Classical numerical ruin probabilities
• A numerical illustration of differences between ruin probabilities originated in the ordinary and in the stationary cases
• Diffusion approximations in collective risk theory
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