Cramér–Lundberg asymptotics for spectrally positive Markov additive processes

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2023-11-16 DOI:10.1080/03461238.2023.2280287

Lucas van Kreveld, Michel Mandjes, Jan-Pieter Dorsman

引用次数: 0

Abstract

This paper studies the Cramér–Lundberg asymptotics of the ruin probability for a model in which the reserve level process is described by a spectrally-positive light-tailed Markov additive process....

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谱正马尔可夫加性过程的cram - lundberg渐近性

本文研究了用谱正光尾马尔可夫加性过程....描述储备水平过程的模型的破产概率的cram r - lundberg渐近性

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.