Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Improved Asymptotics for Ruin Probabilities
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0002-2626-5598
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Dimitrii Silvestrov, Anders Martin-Löf, Springer, 2014, 37-68 p.Chapter in book (Refereed)
Abstract [en]

This paper presents a survey of results on improved asymptotics for ruin probabilities in the Cramér-Lundberg, diffusion, and stable approximations of ruin probabilities for perturbed risk processes, obtained by the author and his collaborators. These results are: exponential asymptotic expansions for ruin probabilities in the Cramér-Lundberg anddiffusion approximations of ruin probabilities; necessary and sufficient conditions for convergence of ruin probabilities in the model of diffusion and stable approximations; and explicit exponential rates of convergence in the Cramér-Lundberg approximation for ruin probabilities for reinsurance risk processes.

Place, publisher, year, edition, pages
Springer, 2014. 37-68 p.
Series
European Actuarial Academy (EAA) Series, ISSN 1869-6929
Keyword [en]
Ruin probability, Cramér-Lundberg approximation, Diffusion approximation, Stable approximation
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-137422DOI: 10.1007/978-3-319-06653-0_5ISBN: 978-3-319-06652-3 (print)ISBN: 978-3-319-06653-0 (electronic)OAI: oai:DiVA.org:su-137422DiVA: diva2:1062567
Available from: 2017-01-06 Created: 2017-01-06 Last updated: 2017-04-04Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Silvestrov, Dmitrii
By organisation
Department of Mathematics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf