The asymptotic behavior of the ruin probability within a random horizon

DOI10.1007/S10255-004-0174-YzbMath1134.91482OpenAlexW2005652671MaRDI QIDQ705091

Tao Jiang, Chenming Xu

Publication date: 25 January 2005

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-004-0174-y

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• On the Characteristics of the General Queueing Process, with Applications to Random Walk
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• Large deviations for heavy-tailed random sums in compound renewal model

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