Monitoring risk in a ruin model perturbed by diffusion
From MaRDI portal
Publication:745469
DOI10.1007/S00184-008-0187-2zbMath1433.62296OpenAlexW2034354636MaRDI QIDQ745469
Publication date: 14 October 2015
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-008-0187-2
Wiener processruin probabilitystrong approximationperturbed risk modeladjustment coefficientasymptotic sizechange-point testempirical moment-generating functionnonparametric sequential testpower 1
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10) Risk models (general) (91B05)
Cites Work
- Unnamed Item
- Unnamed Item
- Risk theory for the compound Poisson process that is perturbed by diffusion
- On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
- A note on the adjustment coefficient in ruin theory
- Aspects of risk theory
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Delay time in sequential detection of change
- Monitoring changes in linear models
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- A nonparametric sequential test with power 1 for the ruin probability in some risk models
- Empirical Laplace transform and approximation of compound distributions
- On the empirical saddlepoint approximation
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Confidence bounds for the adjustment coefficient
- Monitoring Structural Change
This page was built for publication: Monitoring risk in a ruin model perturbed by diffusion
