CRAMER LUNDBERG APPROXIMATIONS FOR RUIN PROBABILITIES OF RISK PROCESSES PERTURBED BY DIFFUSION

被引：43

作者：

SCHMIDLI, H

机构：

[1] Dept. of Actuarial Mathematics and Statistics, Heriot-Watt University, Riccarton, Edinburgh

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1995年 / 16卷 / 02期

关键词：

RUIN PROBABILITY; CRAMER LUNDBERG APPROXIMATIONS; RISK THEORY; MARTINGALE METHODS; CHANGE OF MEASURE; DIFFUSION; EXPONENTIAL FAMILY;

D O I：

10.1016/0167-6687(95)00003-B

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the present paper risk processes perturbed by diffusion are considered. By exponential tilting the processes are inbedded in an exponential family of stochastic processes, such that the type of process is preserved. By change of measure techniques asymptotic expressions for the ruin probability are obtained. This proves that the coefficients obtained by Furrer and Schmidli (1994) are the adjustment coefficients.

引用

页码：135 / 149

页数：15

共 12 条

[1]

AMMETER H, 1948, SKAND AKTUARIETIDSK, P171

[2]

ASMUSSEN S, 1994, RUIN PROBABILITIES

[3]

Asmussen S, 1989, SCAND ACTUAR J, P66

[4]

BJORK T, 1988, SCAND ACTUAR J, P77