Approximation of ruin probability and ruin time in discrete Brownian risk models-Reference-Cited by-同舟云学术

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Approximation of ruin probability and ruin time in discrete Brownian risk models

Published:2020-02-15 Issue:8 Volume:2020 Page:718-735
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Jasnovidov Grigori¹

Affiliation:

1. Department of Actuarial Science, University of Lausanne, Lausanne, Switzerland

Funder

SNSF - Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1725911

Reference24 articles.

1. Lundberg’s risk process with tax

2. On Generalised Piterbarg Constants

3. Queues and Lévy Fluctuation Theory

4. Parisian ruin of self-similar Gaussian risk processes

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Extremes of reflecting Gaussian processes on discrete grid;Journal of Mathematical Analysis and Applications;2024-04

2. Ruin Probability Approximation for Bidimensional Brownian Risk Model with Tax;2024

3. Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance;Stochastic Models;2023-11-20

4. Sojourns of a two-dimensional fractional Bronwian motion risk process;Filomat;2022

5. Simultaneous Ruin Probability for Two-Dimensional Fractional Brownian Motion Risk Process over Discrete Grid;Lithuanian Mathematical Journal;2021-04

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