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

✍ Scribed by H. Schmidli


Book ID
107919079
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
767 KB
Volume
16
Category
Article
ISSN
0167-6687

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Cramér–Lundberg approximation for nonlin
✍ Mats Gyllenberg; Dmitrii S. Silvestrov 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 129 KB

An extension of the classical Cramér-Lundberg approximation for ruin probabilities to a model of nonlinearly perturbed risk processes is presented. We introduce correction terms for the Cramér-Lundberg and diffusion type approximations, which provide the right asymptotic behaviour of relative errors