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Large claims approximations for risk processes in a Markovian environment · Study

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ArticleLarge claims approximations for risk processes in a Markovian environment

Søren Asmussen1994

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Articlebronze1994

Large claims approximations for risk processes in a Markovian environment

Søren Asmussen · Lotte Fløe Henriksen · Claudia Klüppelberg

56 citations·0/0 files stored·Stochastic Processes and their Applications

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Probability and Risk Models Probability and Statistical Research Advanced Queuing Theory Analysis

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References

1991Aspects of Risk Theory 1983The Single Server Queue 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims 1988Subexponential distributions and integrated tails 1979Subexponentiality and infinite divisibility 1989Risk theory in a Markovian environment 1986Convolution tails, product tails and domains of attraction 1994Waiting-time tail probabilities in queues with long-tail service-time distributions

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2002Ruin theory revisited: stochastic models for operational risk 2005Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type 1999Telecommunication traffic, queueing models, and subexponential distributions

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Year1994

Typearticle

Published1994-11-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations56

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0304-4149(93)00003-x

openalex_workW1998015333

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