Ruin probabilities expressed in terms of ladder height distributions
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Publication:4082909
DOI10.1080/03461238.1974.10408681zbMath0321.62103OpenAlexW1991931217MaRDI QIDQ4082909
Publication date: 1974
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1974.10408681
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Large deviation estimates for branching random walks ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Finite and infinite time ruin probabilities in a stochastic economic environment. ⋮ Cramér asymptotics for finite time first passage probabilities of general Lévy processes ⋮ Tools to Estimate the First Passage Time to a Convex Barrier ⋮ Bisk theory and its statistics enyiroment ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ Integro-local theorems in boundary crossing problems for compound renewal processes ⋮ Boundary crossing problems for compound renewal processes ⋮ Approximations in the problem of level crossing by a compound renewal process ⋮ On A Surplus Process Under A Periodic Environment ⋮ On A Surplus Process Under A Periodic Environment ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ On the limit law of a random walk conditioned to reach a high level ⋮ First passage times of general sequences of random vectors: A large deviations approach ⋮ Non-Poissonian claims' arrivals and calculation of the probability of ruin ⋮ Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time ⋮ Approximations for the probability of ruin within finite time ⋮ Combinatorial devices for sequential analysis
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