scientific article; zbMATH DE number 1122116

Publication date: 1 March 1998

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Laplace transforms random walks martingales large deviations heavy tails diffusion approximations compound Poisson process reinsurance Markov additive processes ruin probabilities simulation methodology renewal arrivals risk processes Lundberg conjugation Pollaczeck-Khinchin formula risk theory in a Markovian environment

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Sums of independent random variables; random walks (60G50) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Large deviations (60F10) Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Renewal theory (60K05)

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