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Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion

  • Published:1995-05 Issue:2 Volume:16 Page:135-149
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Schmidli H.

Publisher

Elsevier BV

Subject

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

Reference12 articles.

1. A generalization of the collective theory of risk in regard to fluctuating basic probabilities;Ammeter;Skandinavisk Aktuarietidskrift,1948

2. Risk theory in a Markovian environment;Asmussen;Scandinavian Actuarial Journal,1989

3. Ruin probabilities;Asmussen,1994

4. Exponential inequalities for ruin probabilities in the Cox case;Björk;Scandinavian Actuarial Journal,1988

5. Risk theory for the compound Poisson process that is perturbed by diffusion;Dufresne;Insurance: Mathematics and Economics,1991

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