Ruin probabilities for a regenerative Poisson gap generated risk process

DOI10.1007/s13385-011-0002-8zbMath1229.91151OpenAlexW2104208540MaRDI QIDQ635979

Romain Biard, Soren Asmussen

Publication date: 25 August 2011

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-011-0002-8

zbMATH Keywords

large deviationsruin theorysubexponential distributionMarkov additive processfinite horizon ruin

Mathematics Subject Classification ID

Related Items (7)

Tail asymptotics for dependent subexponential differences ⋮ Precise large deviations of aggregate claims in a size-dependent renewal risk model ⋮ Computing survival probabilities based on stochastic differential models ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ On Exceedance Times for Some Processes with Dependent Increments ⋮ Ruin Problems with Worsening Risks or with Infinite Mean Claims ⋮ Unnamed Item

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