Asymptotics of ruin probabilities for controlled risk processes in the small claims case
type: Item
instance of: scholarly article
title: Asymptotics of ruin probabilities for controlled risk processes in the small claims case
zbMATH Open document ID: 1087.62116
DOI: 10.1080/03461230410000538
author: Christian Hipp
author: Hanspeter Schmidli
published in: Scandinavian Actuarial Journal
publication date: 2006-05-24T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 5026188
zbMATH Keywords: ruin probability
zbMATH Keywords: change of measure
zbMATH Keywords: optimal control
zbMATH Keywords: Cramér-Lundberg approximation
zbMATH Keywords: adjustment coefficient
zbMATH Keywords: Lundberg bounds
zbMATH Keywords: martingale
zbMATH Keywords: geometric Brownian motion
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03461230410000538
OpenAlex ID: W2135676806
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cites work: On minimizing the ruin probability by investment and reinsurance
description: scientific article; zbMATH DE number 5026188