Monitoring risk in a ruin model perturbed by diffusion
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References listed on IDEAS
- Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
- 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.
- Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
More about this item
KeywordsPerturbed risk model; Ruin probability; Adjustment coefficient; Nonparametric sequential test; Asymptotic size; Power 1; Change-point test; Empirical moment-generating function; Strong approximation; Wiener process;
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