Large deviations for the time-integrated negative parts of some processes

DOI10.1016/j.spl.2007.05.024zbMath1134.60020OpenAlexW2095140666MaRDI QIDQ2475424

Claudio Macci

Publication date: 11 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.024

zbMATH Keywords

large deviationsLévy processruin theory

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (2)

Some expressions of a generalized version of the expected time in the red and the expected area in red ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

Cites Work

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• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• Large deviations for risk processes with reinsurance

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