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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.
2005 (English)Report (Other academic)
Abstract [en]

Necessary and sufficient conditions for weak convergence of first-rare-event times and stochastic flows of first-rare-events for semi-Markov processes are obtained. Also necessary and sufficient conditions for diffusion and stable approximations for ruin probabilities for riosk processes age given.
Place, publisher, year, edition, pages
Västerås: Department of Mathematics and Physics, Mälardalen University , 2005. , p. 59
Series
Research reports MDH/IMA, Department of Mathematics and Physics, Mälardalen University, ISSN 1404-4978 ; 2005-2
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-3159OAI: oai:DiVA.org:mdh-3159DiVA, id: diva2:115823
Available from: 2008-03-04 Created: 2008-03-04 Last updated: 2015-07-30Bibliographically approved

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Silvestrov, D.

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