Sökning: onr:"swepub:oai:DiVA.org:su-95469" >
Asymptotics of Ruin...
Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
-
- Petersson, Mikael, 1984- (författare)
- Stockholms universitet,Matematiska institutionen
-
(creator_code:org_t)
- 2014-06-07
- 2014
- Engelska.
-
Ingår i: Modern Problems in Insurance Mathematics. - Cham : Springer. - 9783319066523 - 9783319066530 ; , s. 95-112
- Relaterad länk:
-
https://urn.kb.se/re...
-
visa fler...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- We consider the problem of approximating the infinite time horizon ruin probabilities for discrete time risk processes. The approach is based on asymptotic results for non-linearly perturbed discrete time renewal equations. Under some moment conditions on the claim distributions, the approximations take the form of exponential asymptotic expansions with respect to the perturbation parameter. We show explicitly how the coefficients of these expansions can be computed as functions of the coefficients of the expansions of local characteristics for perturbed risk processes.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- matematisk statistik
- Mathematical Statistics
Publikations- och innehållstyp
- ref (ämneskategori)
- kap (ämneskategori)
Hitta via bibliotek
Till lärosätets databas