A large deviation estimate for ruin probabilities

DOI10.1080/03461238.1993.10413912zbMath0786.62099OpenAlexW1975973872MaRDI QIDQ3142173

Boualem Djehiche

Publication date: 12 December 1993

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1993.10413912

zbMATH Keywords

martingalesbalance equationboundsstrong solutioncompound Poisson processdeterministic driftprobability of ruingeneral risk modelGirsanov-type transformations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)

Related Items (9)

Large Deviations for a Damped Telegraph Process ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling ⋮ Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance ⋮ Ruin probability in the presence of risky investments ⋮ Stochastic Duality of Markov Processes: A Study Via Generators ⋮ An application of fractional differential equations to risk theory ⋮ Risk processes with shot noise Cox claim number process and reserve dependent premium rate ⋮ A large deviation principle for the risk process with varying premium

Cites Work

• Ruin probabilities expressed in terms of storage processes
• The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
• The Recurrence Classification of Risk and Storage Processes
• Asymptotic probabilities and differential equations
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