Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment

• Autorzy: Palmowski Z.
• Języki publikacji: EN

Abstrakty

EN

In this paper we find a nonexponential Lundberg approximation of the ruin probability in a Cox model, in which a governing process has a regenerative structure and claims are light-tailed or have an intermediate regularly varying distribution. Examples include an intensity process being reflected Brownian motion, square functions of the Ornstein-Uhlenbeck process and splitting reflected Brownian bridges. In particular, we consider a non-Markovian intensity proces.

Słowa kluczowe

EN

ruin probability; Cox process; diffusion process; exponential change of measure

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2002
• Tom: Vol. 22, Fasc. 2
• Strony: 381--405
• Opis fizyczny: Biblogr. 39 poz.

Twórcy

autor

Palmowski Z.

• Institute of Mathematics, Wrocław University, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland
• EURANDOM, P.O. Box 513, pl. Grunwaldzki 2/4, 5600 MB Eindhoven, The Netherlands

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