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Volumn 38, Issue 1, 2001, Pages 108-121

Some asymptotic results for transient random walks with applications to insurance risk

Author keywords

Precise large deviations; Ruin probability; Subexponential distributions; Transient random walks

Indexed keywords


EID: 0035533789     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/996986647     Document Type: Article
Times cited : (11)

References (13)
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  • 2
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  • 3
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    • Convergence rates for M / G / 1 queues and ruin problems with heavy tails
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    • Asmussen, S.1    Teugels, J.L.2
  • 4
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    • Baltrunas, A.1
  • 5
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    • Some asymptotic results for transient random walks
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  • 6
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  • 7
    • 0007166947 scopus 로고
    • On the asymptotic behaviour of first passage times for transient random walks
    • DONEY, R. A. (1989). On the asymptotic behaviour of first passage times for transient random walks. Prob. Theory Rel. Fields 81, 239-246.
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    • Doney, R.A.1
  • 8
    • 84974274978 scopus 로고
    • A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory
    • EMBRECHTS, P. AND HAWKES, J. (1982). A limit theorem for the tails of discrete infinitely divisible laws with applications to fluctuation theory. J. Austral. Math. Soc. A 32, 412-422.
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    • Embrechts, P.1    Hawkes, J.2
  • 9
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    • Estimates for the probability of ruin with special emphasis on the possibility of large claims
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    • Embrechts, P.1    Veraverbeke, N.2
  • 11
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    • Subexponential distributions and integrated tails
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    • Klüppelberg, C.1
  • 12
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    • Estimation of ruin probabilities by means of hazard rates
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    • Klüppelberg, C.1
  • 13
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.