Estimates for the probability of ruin with special emphasis on the possibility of large claims
Tóm tắt
Từ khóa
Tài liệu tham khảo
Andersen, 1957, On the collective theory of risk in case of contagion between claims, II, 219
Athreya, 1972
Beekman, 1974
Billingsley, 1979
Bühlmann, 1970
Chistyakov, 1964, A theorem on sums of independent random variables and its applications to branching processes, Theory Probability Appl., 9, 640, 10.1137/1109088
Chung, 1974
Embrechts, 1981, On convolution tails, Stochastic Processes and its Applications, 13
Embrechts, 1979, Subexponentiality and infinite divisibility, Z. Wahrsch. Verw. Geb., 49, 335, 10.1007/BF00535504
Feller, 1971, Volume 2
Gerber, 1968, Abschātzung der Ruinwahrscheinlichkeit mit den Methoden der Fluktuationstheorie für Zufallswege, Skand. Aktuar. Tidskr., 51, 171
Loève, 1977, I
Pitman, 1980, Subexponential distribution functions, J. Australian Math. Soc., 29, 337, 10.1017/S1446788700021340
Prabhu, 1965
Prabhu, 1980
Rogozin, 1969, A remark on a theorem due to W. Feller, Theory Probability Appl., 14, 529, 10.1137/1114070
Spitzer, 1956, A combinatorial lemma and its application to probability theory, Trans. Amer. Math. Soc., 82, 323, 10.1090/S0002-9947-1956-0079851-X
Teugels, 1975, The class of subexponential distributions, Ann. Probability, 3, 1000, 10.1214/aop/1176996225
Teugels, 1973, Cramér-type estimates for the probability of ruin, C.O.R.E. Discussion Paper No. 7316
Thorin, 1970, Some remarks on the ruin problem in case the epochs of claims form a renewal process, Skand. Aktuar. Tidskr., 29
Thorin, 1976, Calculation of ruin probabilities when the claim distribution is lognormal, Astin Bulletin
Veraverbeke, 1977, Asymptotic behaviour of Wiener-Hopf factors of a random walk, Stochastic Processes and its Applications, 5, 27, 10.1016/0304-4149(77)90047-3
von Bahr, 1975, Asymptotic ruin probabilities when exponential moments do not exist, Scand. Actuariat J., 6, 10.1080/03461238.1975.10405073
Widder, 1966