An insensitivity property of lundberg’s estimate for delayed claims

Journal of Applied Probability

Volumn 37, Issue 3, 2000, Pages 914-917

  Brémaud, Pierre ^a  

^a EPFL   (Switzerland)

Author keywords

Large deviations; Poisson shot noise; Ruin problem

Indexed keywords

EID: 0034337888     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1014842846     Document Type: Article

References (5)

1. Brémaud, P. (2000). An insensitivity property for light-tail shot noise traffic overflow asymptotics. Res. Rept DSC/2000/05, Dept. of Communication Systems, EPFL, Switzerland.
2. Duffield, N. G. and O’Connell, N. (1995). Large deviations and overflow probabilities for the general singleserver queue, with applications. Math. Proc. Camb. Phil. Soc. 118, 363-374.
3. Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997). Modelling Extremal Events. Springer, New York.
4. Grandell, J. (1992). Aspects ofRisk Theory. Springer, New York.
5. Klüppelberg, C. and Mikosch, T. (1995). Explosive Poisson shot noise processes with applications to risk reserves. Bernoulli 1, 125-147.