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Exponential asymptotical expansions for ruin probability in a classical risk process with non-polynomial perturbations
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (Matematik/tillämpad Matematik)ORCID iD: 0000-0002-0835-7536
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Silvestrov, D., Martin-Löf, A. (eds), Springer, 2014, 69-94 p.Chapter in book (Refereed)
Abstract [en]

In this paper we investigate the asymptotical behaviour of ruin probability in a classical compound Poisson risk process associated with perturbations in the claim size distributions and/or other parameters of the risk process. The novelty of this study is that we consider non-polynomial perturbations which include the polynomial perturbations as particular cases. The aim of the study is to develop exponential asymptotical expansions for the ruin probability as the initial capital goesto infinity and the perturbation parameter goes to zero, simultaneously but in a balanced manner. Numerical examples of risk processes with such type of perturbations are also given for illustrative purposes.

Place, publisher, year, edition, pages
Springer, 2014. 69-94 p.
Series
EAA Series, ISSN 1869-6929
Keyword [en]
Ruin probability, perturbed risk process, perturbed renewal equation, non-linear perturbation, non-polynomial perturbation
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-23044DOI: 10.1007/978-3-319-06653-0_6ISBN: 978-3-319-06652-3 (print)ISBN: 978-3-319-06653-0 (print)OAI: oai:DiVA.org:mdh-23044DiVA: diva2:668518
Available from: 2013-11-30 Created: 2013-11-30 Last updated: 2014-11-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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