Subexponential asymptotics of hybrid fluid and ruin models

Annals of Applied Probability

Volumn 15, Issue 1 A, 2005, Pages 500-517

  Zwart, Bert ^a   Borst, Sem ^b   Dȩbicki, Krzystof ^c  

^a EINDHOVEN UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b CWI   (Netherlands)

^c UNIVERSITY OF WROC AW   (Poland)

Author keywords

Extremes; Fractional Brownian motion; Gaussian processes; On Off processes; Perturbed risk models; Regular variation; Ruin probabilities; Subexponential distributions

Indexed keywords

EID: 14544285524     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/105051604000000648     Document Type: Article

References (24)

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