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Article provided by Springer in its journal Metrika.

Volume (Year): 70 (2009)
Issue (Month): 2 (September)
Pages: 205-224
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Handle: RePEc:spr:metrik:v:70:y:2009:i:2:p:205-224

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Related research

Keywords: Perturbed risk model; Ruin probability; Adjustment coefficient; Nonparametric sequential test; Asymptotic size; Power 1; Change-point test; Empirical moment-generating function; Strong approximation; Wiener process;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March. [Downloadable!] (restricted)
2. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September. [Downloadable!] (restricted)
3. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April. [Downloadable!] (restricted)

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This page was last updated on 2009-12-4.