An extension to the renewal theorem and an application to risk theory

Annals of Applied Probability

Volumn 7, Issue 1, 1997, Pages 121-133

  Schmidli, H ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Large deviations; Limit theorems; Renewal theorem; Risk theory; Ruin probabilities

Indexed keywords

EID: 0031285161     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1034625255     Document Type: Article

References (10)

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2. ASMUSSEN, S. (1996). Ruin Probability. World Scientific, Singapore. To appear.
3. ASMUSSEN, S. and PETERSEN, S. S. (1989). Ruin probabilities expressed in terms of storage processes. Adv. in Appl. Probab. 20 913-916.
4. BJÖRK, T. and GRANDELL, J. (1988). Exponential inequalities for ruin probabilities in the Cox case. Scand. Actuar. J. 77-111.
5. EMBRECHTS, P., GRANDELL, J. and SCHMIDLI, H. (1993). Finite-time Lundberg inequalities in the Cox case. Scand. Actuar. J. 17-41.
6. FELLER, W. (1971). An Introduction to Probability Theory and Its Applications. Wiley, New York.
7. GRANDELL, J. (1991). Aspects of Risk Theory. Springer, New York.
8. GRIGELIONIS, B. (1993). Two-sided Lundberg inequalities in a Markovian environment. Liet. Mat. Rink. 33 30-41.
9. SCHMIDLI, H. (1995). Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Insurance Math. Econom. 16 135-149.
10. SCHMIDLI, H. (1996). Lundberg inequalities for a Cox model with a piecewise constant intensity. J. Appl. Probab. 33 196-210.