Asymptotic behaviour of the ruin probability for stochastic risk models:
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Bonn
SFB 611
2005
|
| Series: | Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen
215 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 36 S. |
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| adam_text | ASYMPTOTIC BEHAVIOUR OF THE RUIN PROBABILITY FOR STOCHASTIC RISK MODELS
S. ALBEVERIO, V.S. KOROLYUK, M.S. BRATIYCHUK NO. 215 SUB GOTTINGEN 7 218
178 557 K 2005 B 5922 DIESE ARBEIT IST MIT UNTERSTUTZUNG DES VON DER
DEUTSCHEN FORSCHUNGS- GEMEINSCHAFT GETRAGENEN SONDERFORSCHUNGSBEREICHES
611 AN DER UNIVER- SITAT BONN ENTSTANDEN UND ALS MANUSKRIPT
VERVIELFALTIGT WORDEN. BONN, FEBRUAR 2005 CONTENTS 1. INTRODUCTION 3 2.
CLASSICAL RISK MODEL 4 2.1. ASYMPTOTIC BEHAVIOUR OF RUIN PROBABILITY 4
2.2. ABSOLUTE MAXIMUM OF A LEVY PROCESS 6 3. SEMI-MARKOV RANDOM WALK IN
THE ASYMPTOTIC SCHEME 12 3.1. SUPERPOSITION OF TWO RENEWAL PROCESSES 13
3.2. THE ALGORITHMS OF APPROXIMATION FOR SMRW 13 4. COMPENSATIVE
OPERATOR (CO) 15 4.1. CO ON THE AVERAGE SCHEME- 16 4.2. THE CO IN THE
POISSON APPROXIMATION SCHEME 17 1991 MATHEMATICS SUBJECT CLASSIFICATION.
60G55, 60J15, 60J30. KEY WORDS AND PHRASES. RISK PROCESS, RUIN
PROBABILITY, RANDOM WALK. 1 ASYMPTOTIC BEHAVIOUR OF THE RUIN 4.3. THE CO
IN THE DIFFUSION APPROXIMATION SCHEME 17 5. THE SINGULAR PERTURBATION
PROBLEM 18 5.1. THE AVERAGE OPERATOR 18 5.2. THE POISSON LIMIT OPERATOR
18 5.3. THE LIMIT DIFFUSION PROCESS 19 6. THE ALGORITHM OF THE
STATIONARY PHASE MERGING SCHEME 19 7. SEMI-MARKOV RISK MODELS 21 7.1.
REPRESENTATION FOR RUIN PROBABILITY 23 7.2. PROPERTIES OF THE CANONICAL
FACTORIZATION 27 7.3. CHARACTERISTIC FUNCTION OF RUIN PROBABILITY 29
7.4. PROOF OF THEOREM 10 32 REFERENCES 34
|
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| author | Albeverio, Sergio 1939- Koroljuk, Volodymyr S. 1925- Bratiychuk, Mykola S. |
| author_GND | (DE-588)121093999 (DE-588)119463717 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T20:08:13Z |
| institution | BVB |
| language | English |
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| series | Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen |
| series2 | Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen |
| spelling | Albeverio, Sergio 1939- Verfasser (DE-588)121093999 aut Asymptotic behaviour of the ruin probability for stochastic risk models S. Albeverio, V. S. Korolyuk, M. S. Bratiychuk Bonn SFB 611 2005 36 S. txt rdacontent n rdamedia nc rdacarrier Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen 215 Koroljuk, Volodymyr S. 1925- Verfasser (DE-588)119463717 aut Bratiychuk, Mykola S. Verfasser aut Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen 215 (DE-604)BV014653850 215 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013202821&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Albeverio, Sergio 1939- Koroljuk, Volodymyr S. 1925- Bratiychuk, Mykola S. Asymptotic behaviour of the ruin probability for stochastic risk models Sonderforschungsbereich 611, Singuläre Phänomene und Skalierung in Mathematischen Modellen |
| title | Asymptotic behaviour of the ruin probability for stochastic risk models |
| title_auth | Asymptotic behaviour of the ruin probability for stochastic risk models |
| title_exact_search | Asymptotic behaviour of the ruin probability for stochastic risk models |
| title_full | Asymptotic behaviour of the ruin probability for stochastic risk models S. Albeverio, V. S. Korolyuk, M. S. Bratiychuk |
| title_fullStr | Asymptotic behaviour of the ruin probability for stochastic risk models S. Albeverio, V. S. Korolyuk, M. S. Bratiychuk |
| title_full_unstemmed | Asymptotic behaviour of the ruin probability for stochastic risk models S. Albeverio, V. S. Korolyuk, M. S. Bratiychuk |
| title_short | Asymptotic behaviour of the ruin probability for stochastic risk models |
| title_sort | asymptotic behaviour of the ruin probability for stochastic risk models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013202821&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV014653850 |
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