The De Vylder–Goovaerts conjecture holds within the diffusion limit

DOI10.1017/jpr.2019.33zbMath1415.60031OpenAlexW2898028417WikidataQ123248025 ScholiaQ123248025MaRDI QIDQ5226257

Stefan Ankirchner, Nabil Kazi-Tani, Christophette Blanchet-Scalliet

Publication date: 31 July 2019

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

Full work available at URL: https://doi.org/10.1017/jpr.2019.33

zbMATH Keywords

diffusion approximationruin probabilityrisk theoryequalized claim

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17)

Related Items (1)

De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts

Cites Work

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