A ruin model with a resampled environment
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Publication:5117676
DOI10.1080/03461238.2019.1667424zbMath1447.91131arXiv1906.02911OpenAlexW2973987289MaRDI QIDQ5117676
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Publication date: 26 August 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.02911
parameter uncertaintyruin probabilitiesLévy risk processesLundberg's inequalityCramér-Lundberg asymptotics
Related Items (5)
Extrema of multi-dimensional Gaussian processes over random intervals ⋮ The Cramér-Lundberg model with a fluctuating number of clients ⋮ A transient Cramér–Lundberg model with applications to credit risk ⋮ Single-server queues under overdispersion in the heavy-traffic regime ⋮ Functional sensitivity analysis of ruin probability in the classical risk models
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