Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time

DOI10.1080/03461238.1996.10413968zbMath0864.62070OpenAlexW2026210046MaRDI QIDQ4715563

Vsevolod K. Malinovskii

Publication date: 11 June 1997

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

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413968

zbMATH Keywords

upper boundsfinite time ruin probabilityasymptotic expressionprobabilities of large deviationsprobabilities of ruinstopped random walksAndersen's risk modellow moment conditions

Mathematics Subject Classification ID

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

Related Items (7)

Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Level premium rates as a function of initial capital ⋮ Approximations in the problem of level crossing by a compound renewal process ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ Approximations for Finite Horizon Ruin Probabilities in the Renewal Model ⋮ Stochastic bounds for the Sparre Andersen process

Cites Work

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• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Ruin probabilities expressed in terms of ladder height distributions
• Corrected normal approximation for the probability of ruin within finite time
• Some Limit Theorems for Large Deviations
• Probability Inequalities for Sums of Independent Random Variables
• Large deviations of sums of independent random variables
• Regularly varying functions

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