A transient Cramér–Lundberg model with applications to credit risk

DOI10.1017/jpr.2020.114zbMath1477.60073arXiv2005.06970OpenAlexW3200034787MaRDI QIDQ5152521

Guusje Delsing, M. R. H. Mandjes

Publication date: 24 September 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.06970

zbMATH Keywords

importance samplingruin probabilityCramér-Lundberg processlarge-deviation asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Extreme Value Analysis for a Markov Additive Process Driven by a Nonirreducible Background Chain

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