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Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes. II 2006 (English)In: Theory of Stochstic Processes, ISSN 0321-3900, Vol. 12(28), no 3-4, p. 187-202Article in journal (Refereed) Published

Abstract [en]

Necessary and sufficient condition for weak convergence of stochastic flows of first-rare-event times controlled by semi-Markov processes are given. Also necessary and sufficient conditions for diffusion and stable approximations of ruin probabilities for risk processes are given.

Place, publisher, year, edition, pages

2006. Vol. 12(28), no 3-4, p. 187-202

Keywords [en]

stochstic flow of first-rare-events, semi-Markov process, weak convergence, diffusionapproximation, stable approximation, ruin probability, necessary and sufficient conditions

National Category

Probability Theory and Statistics

Identifiers

URN: urn:nbn:se:mdh:diva-2954OAI: oai:DiVA.org:mdh-2954DiVA, id: diva2:115617

Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2017-02-15Bibliographically approved

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http://tsp.imath.kiev.ua/files/24/2006_12_3-4_14.pdf

Authority records

Silvestrov, Dmitrii S.

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Silvestrov, Dmitrii S.

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Department of Mathematics and Physics

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Probability Theory and Statistics

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