Ruin Problems with Worsening Risks or with Infinite Mean Claims

DOI10.1080/15326349.2015.973721zbMath1309.91076OpenAlexW2073483074MaRDI QIDQ4981888

Stéphane Loisel, Dominik Kortschak, Pierre Ribereau

Publication date: 20 March 2015

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2015.973721

zbMATH Keywords

asymptoticsruin probabilityPareto distributionclimate changeregularly varying distributionsinfinite meannonhomogeneous risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10)

Cites Work

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• Risk theory in a stochastic economic environment
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• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• Convergence of weighted averages of independent random variables

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