An asymptotic expression for the probability of ruin within finite time
type: Item
instance of: scholarly article
title: An asymptotic expression for the probability of ruin within finite time
zbMATH Open document ID: 0703.60067
author: Thomas Höglund
published in: The Annals of Probability
publication date: 1990-01-01T00:00:00Z
review text: The author derives asymptotic expressions for the probability that a two- dimensional random walk crosses the ordinate y for the first time to the left of the abscissa x, as x and y tend to \(\infty\). Two applications are given, a large deviation result for the maximum of a one-dimensional random walk and asymptotic expressions for the distribution of the time of ruin in a risk reserve process.
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60F10
zbMATH DE Number: 4153622
zbMATH Keywords: boundary crossing
zbMATH Keywords: large deviation
zbMATH Keywords: risk reserve process
reviewed by: Heinrich Hering
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176990954
OpenAlex ID: W2041698848
DOI: 10.1214/AOP/1176990954
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description: scientific article; zbMATH DE number 4153622