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On the typical level crossing time and path

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  • Nyrhinen, Harri

Abstract

Let Y1, Y2, ... be a stochastic process and M a positive real number. Define the level crossing time TM = inf{n|Yn > M} (TM) = + [infinity] if Yn

Suggested Citation

  • Nyrhinen, Harri, 1995. "On the typical level crossing time and path," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 121-137, July.
    • Handle: RePEc:eee:spapps:v:58:y:1995:i:1:p:121-137
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    References listed on IDEAS

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    1. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    2. Burton, Robert M. & Dehling, Herold, 1990. "Large deviations for some weakly dependent random processes," Statistics & Probability Letters, Elsevier, vol. 9(5), pages 397-401, May.
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    Cited by:

    1. Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
    2. Ghosh, Souvik & Samorodnitsky, Gennady, 2010. "Long strange segments, ruin probabilities and the effect of memory on moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2302-2330, December.
    3. Barbe, Ph. & McCormick, W.P., 2010. "An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 801-828, June.
    4. Harri Nyrhinen, 2015. "On real growth and run-off companies in insurance ruin theory," Papers 1511.01763, arXiv.org.

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