On asymptotics of deficit distribution and its moments at the time of ruin

DOI10.1007/s10986-010-9067-3zbMath1203.91109OpenAlexW2100392656MaRDI QIDQ619344

A. K. Aleshkyavichene

Publication date: 24 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-010-9067-3

zbMATH Keywords

random walkruin probabilityasymptotic resultsladder heightsinsurance riskdeficit at ruindistribution and moments of the deficit

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• The overshoot of a random walk with negative drift
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• On the existence of moments of ladder heights
• Asymptotic Analysis of Random Walks

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