Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Dmitrii Silvestrov, Anders Martin-Löf, Springer, 2014, 95-112 p.Chapter in book (Refereed)
We consider the problem of approximating the infinite time horizon ruin probabilities for discrete time risk processes. The approach is based on asymptotic results for non-linearly perturbed discrete time renewal equations. Under some moment conditions on the claim distributions, the approximations take the form of exponential asymptotic expansions with respect to the perturbation parameter. We show explicitly how the coefficients of these expansions can be computed as functions of the coefficients of the expansions of local characteristics for perturbed risk processes.
Place, publisher, year, edition, pages
Springer, 2014. 95-112 p.
, EAA Series, ISSN 1869-6929
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:su:diva-95469DOI: 10.1007/978-3-319-06653-0_7ISBN: 978-3-319-06652-3ISBN: 978-3-319-06653-0OAI: oai:DiVA.org:su-95469DiVA: diva2:660274