Cramér–Lundberg asymptotics for spectrally positive Markov additive processes-Reference-Cited by-同舟云学术

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Cramér–Lundberg asymptotics for spectrally positive Markov additive processes

Published:2023-11-16 Issue: Volume: Page:1-22
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

van Kreveld Lucas¹,Mandjes Michel¹²³,Dorsman Jan-Pieter¹^ORCID

Affiliation:

1. Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, Netherlands

2. Eurandom, Eindhoven University of Technology, Eindhoven, Netherlands

3. Amsterdam Business School, Faculty of Economics and Business, University of Amsterdam, Amsterdam, Netherlands

Funder

Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2023.2280287

Reference22 articles.

1. A Unified Framework for Numerically Inverting Laplace Transforms

2. Asmussen S. (2003). Applied probability and queues, 2nd ed. New York: Springer.

3. Ruin Probabilities

4. Stochastic Simulation: Algorithms and Analysis

5. Cramér's estimate for Lévy processes

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