Improved Asymptotics for Ruin Probabilities

• This paper 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 anddiffusion 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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

Ruin probability

Cramér-Lundberg approximation

Diffusion approximation

Stable approximation

Mathematical Statistics

matematisk statistik

Mathematics/Applied Mathematics

Publikations- och innehållstyp

ref (ämneskategori)

kap (ämneskategori)