Rough descriptions of ruin for a general class of surplus processes
1998 ◽
Vol 30
(4)
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pp. 1008-1026
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Keyword(s):
Let {Yn | n = 1, 2,…} be a stochastic process and M a positive real number. Define the time of ruin by T = inf{n | Yn > M} (T = +∞ if Yn ≤ M for n = 1, 2,…). Using the techniques of large deviations theory we obtain rough exponential estimates for ruin probabilities for a general class of processes. Special attention is given to the probability that ruin occurs up to a certain time point. We also generalize the concept of the safety loading and consider its importance to ruin probabilities.
1998 ◽
Vol 30
(04)
◽
pp. 1008-1026
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1999 ◽
Vol 36
(3)
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pp. 733-746
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Keyword(s):
1999 ◽
Vol 36
(03)
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pp. 733-746
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Keyword(s):
1994 ◽
Vol 31
(02)
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pp. 373-382
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1995 ◽
Vol 32
(01)
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pp. 74-89
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2005 ◽
Vol 37
(03)
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pp. 726-742
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Keyword(s):
2005 ◽
Vol 37
(3)
◽
pp. 726-742
◽
Keyword(s):
2018 ◽
Vol 7
(1)
◽
pp. 77-83
Keyword(s):