Ruin probabilities for a regenerative Poisson gap generated risk process
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DOI: 10.1007/s13385-011-0002-8
Note: View the original document on HAL open archive server: https://hal.science/hal-00569254v2
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References listed on IDEAS
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- Li, Xiaohu & Wu, Jintang, 2014. "Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 15-26.
- Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.
- Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014. "Ruin problems with worsening risks or with infinite mean claims," Post-Print hal-00735843, HAL.
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More about this item
Keywords
Ruin theory; Subexponential distribution; Large deviations; Markov additive process; Finite horizon ruin;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2011-10-15 (Risk Management)
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