Conditional law of risk processes given that ruin occurs
type: Item
instance of: scholarly article
title: Conditional law of risk processes given that ruin occurs
zbMATH Open document ID: 1231.91233
author: Hanspeter Schmidli
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 60J35
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6004692
zbMATH Keywords: Markov process
zbMATH Keywords: generator
zbMATH Keywords: absorbing state
zbMATH Keywords: ruin
zbMATH Keywords: diffusion process
zbMATH Keywords: jump process
zbMATH Keywords: weak convergence
zbMATH Keywords: piecewise deterministic Markov process (PDMP)
zbMATH Keywords: change of measure
zbMATH Keywords: Cramér condition
zbMATH Keywords: subexponential distribution
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.10.007
OpenAlex ID: W2008329034
cites work: Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
cites work: Large deviations results for subexponential tails, with applications to insurance risk
cites work: Tail probabilities for non-standard risk and queueing processes with subexponential jumps
cites work: Optimal dividends in the dual model
cites work: Exponential inequalities for ruin probabilities in the Cox case
cites work: Martingales and insurance risk
cites work: Q3680030
cites work: Q3136505
cites work: Risk theory for the compound Poisson process that is perturbed by diffusion
cites work: Q4343010
cites work: Q3721531
cites work: Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
cites work: Q5637709
cites work: On the Time Value of Ruin
cites work: Q4230625
cites work: Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
cites work: An extension to the renewal theorem and an application to risk theory
cites work: On the Distribution of the Surplus Prior and at Ruin
cites work: Q4489978
cites work: Q5434181
DOI: 10.1016/J.INSMATHECO.2009.10.007
description: scientific article; zbMATH DE number 6004692