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Volumn 1998, Issue 1, 1998, Pages 59-74

Risk processes perturbed by α-stable lévy motion

Author keywords

Mittag Leffler function; Risk theory; Ruin probability; Subexponential distributions; stable L vy motion

Indexed keywords


EID: 63449133985     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461238.1998.10413992     Document Type: Article
Times cited : (64)

References (17)
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    • Baxter, G.1    Donsker, M.D.2
  • 4
    • 0001912797 scopus 로고
    • Risk theory for the compound Poisson process that is perturbed by diffusion
    • Dufresne, F. & Gerber, H. U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance Math. Econ. 10,51-59.
    • (1991) Insurance Math. Econ. , vol.10 , pp. 51-59
    • Dufresne, F.1    Gerber, H.U.2
  • 8
    • 0031591894 scopus 로고    scopus 로고
    • Stable Levy motion approximation in collective risk theory
    • To appear
    • Furrer, H. J., Michna, Z. & Weron, A. (1997). Stable Levy motion approximation in collective risk theory. Insurance Math. Econ. To appear.
    • (1997) Insurance Math. Econ
    • Furrer, H.J.1    Michna, Z.2    Weron, A.3
  • 9
    • 0001924427 scopus 로고
    • Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
    • Furrer, H. J. & Schmidli, H. (1994). Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Illsurance Math. Econ. 15, 23-36.
    • (1994) Illsurance Math. Econ. , vol.15 , pp. 23-36
    • Furrer, H.J.1    Schmidli, H.2
  • 10
    • 0000437178 scopus 로고
    • An extension of the renewal equation and its application in the collective theory of risk
    • Gerber, H. U. (1970). An extension of the renewal equation and its application in the collective theory of risk. Scand. Actuarial J., 205-210.
    • (1970) Scand. Actuarial J. , pp. 205-210
    • Gerber, H.U.1
  • 15
    • 38249000146 scopus 로고
    • Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
    • Veraverbeke, N. (1993). Asymptotic estimates for the probability of ruin in a Poisson model with diffusion. Insurance: Math. Econ. 13, 57-62.
    • (1993) Insurance: Math. Econ. , vol.13 , pp. 57-62
    • Veraverbeke, N.1
  • 16
    • 0000904438 scopus 로고
    • The first passage time of a level and the behaviour at infinity for a class of processes with independent increments
    • Zolotarev, V. M. (1964). The first passage time of a level and the behaviour at infinity for a class of processes with independent increments. Theory Probab. Appl. 9 (I), 653-661.
    • (1964) Theory Probab. Appl. , vol.9 , Issue.1 , pp. 653-661
    • Zolotarev, V.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.