scientific article; zbMATH DE number 1475711

zbMath0954.60036MaRDI QIDQ4489978

Hanspeter Schmidli

Publication date: 12 July 2000

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

zbMATH Keywords

asymptoticsruin probabilityLévy processperturbed risk model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Martingales with continuous parameter (60G44)

Related Items (8)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ Conditional law of risk processes given that ruin occurs ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion ⋮ Asymptotics of Hybrid Fluid Queues with Lévy Input ⋮ Reduced-load equivalence for Gaussian processes ⋮ Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis ⋮ On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes

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