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Cramer-Lundberg approximation for nonlinearly perturbed risk processes

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  • Gyllenberg, Mats
  • S. Silvestrov, Dmitrii

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  • Gyllenberg, Mats & S. Silvestrov, Dmitrii, 2000. "Cramer-Lundberg approximation for nonlinearly perturbed risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 75-90, February.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:75-90
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    References listed on IDEAS

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    1. Asmussen, Søren & Klüppelberg, Claudia, 1996. "Large deviations results for subexponential tails, with applications to insurance risk," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 103-125, November.
    2. Wikstad, Nils, 1971. "Exemplification of Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 6(2), pages 147-152, December.
    3. Gyllenberg, Mats & Silvestrov, Dmitrii S., 2000. "Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 1-27, March.
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    Cited by:

    1. Jose Blanchet & Bert Zwart, 2010. "Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(2), pages 311-326, October.
    2. Mikael Petersson, 2017. "Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1047-1074, December.
    3. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.

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