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Necessary and sufficient conditions for weak convergence of first-rare-event times for semi-Markov processes with applications to risk theory
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
Mälardalen University, Department of Mathematics and Physics.
2006 (English)Conference paper, Published paper (Other (popular science, discussion, etc.))
Abstract [en]

necessary and sufficient condition of weak convergence for first-rara-event times for semi-Markov processes are formulated. Applications to asymptotic analysis of ruin probabilities for risk processes are discussed.

Place, publisher, year, edition, pages
2006. p. 244-
Keywords [en]
semi-Markov process, first-rare-event time, weak convergence, risk process, ruin probability
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-2960OAI: oai:DiVA.org:mdh-2960DiVA, id: diva2:115623
Conference
International Conference Modern Stochastics: Theory and Applications, Kiev, June 19--23, 2006
Available from: 2008-03-04 Created: 2008-03-04 Last updated: 2017-02-15Bibliographically approved

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Silvestrov, Dmitrii

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CiteExportLink to record
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