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Improved Asymptotics for Ruin Probabilities
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Stockholm University, Sweden. (Mathematics and Applied Mathematics)ORCID iD: 0000-0002-2626-5598
2014 (English)In: Modern Problems in Insurance Mathematics / [ed] Silvestrov, Dmitrii; Martin-Löf, Anders, Springer International Publishing , 2014, 37-68 p.Chapter in book (Refereed)
Abstract [en]

This chapter presents a survey of results on improved asymptotics for ruin probabilities in the Cramér–Lundberg, diffusion, and stable approximations of ruin probabilities for perturbed risk processes, obtained by the author and his collaborators. These results are: exponential asymptotic expansions for ruin probabilities in the Cramér–Lundberg and diffusion approximations of ruin probabilities; necessary and sufficient conditions for convergence of ruin probabilities in the model of diffusion and stable approximations; and explicit exponential rates of convergence in the Cramér–Lundberg approximation for ruin probabilities for reinsurance risk processes.

Place, publisher, year, edition, pages
Springer International Publishing , 2014. 37-68 p.
Series
EAA Series
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-27270DOI: 10.1007/978-3-319-06653-0_5ISBN: 978-3-319-06652-3 (print)ISBN: 978-3-319-06653-0 (print)OAI: oai:DiVA.org:mdh-27270DiVA: diva2:775383
Available from: 2015-01-02 Created: 2015-01-02 Last updated: 2015-01-30Bibliographically approved

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Publisher's full texthttp://dx.doi.org/10.1007/978-3-319-06653-0_5

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
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Output format
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