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Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment
Ruin probability Cox process diffusion process exponential change of measure
2009/9/21
In this paper we fmd 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...
ON APPROXIMATIONS OF RISK PROCESS WITH RENEWAL ARRIVALS IN a-STABLE DOMAIN
Risk process heavy traffic light traffic a-stable LBvy motion
2009/9/18
In this paper we approximate risk process by an
a-stable Uvy motion (1 < a < 2). We consider two conditions imposed
on the value of the premium rate. The first one assumes that the
premiums exceed ...
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process
Discounted Dividends Threshold-Type Markovian Risk Process
2009/9/17
Moments of the Discounted Dividends in a Threshold-Type Markovian Risk Process。