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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 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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Silvestrov, Dmitrii

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Department of Mathematics and Physics

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Mathematics

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