Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika
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Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika, 2008, Number 3(4), Pages 22–31 (Mi vtgu110)  

MATHEMATICS

Asymptotic Expansions of the Ruin Probability for a Generalized Poisson Process

A. T. Semenov

Novosibirsk State University for Economics and Management
Abstract: Let $\xi(t)$, $t\geqslant0,$ be a generalized Poisson process, and let $\tau(x)=\inf\{t:\xi(t)\geqslant x\}, x>0$. The complete asymptotic expansions of the distribution $\tau(x)$ are obtained for $x\to\infty$ under Cramér type condition.
Keywords: generalized Poisson process, ruin probability, Laplace-Stieltjes transform, factorization method, asymptotic expansion.

Accepted: October 16, 2008
Document Type: Article
UDC: 519.21
Language: Russian
Citation: A. T. Semenov, “Asymptotic Expansions of the Ruin Probability for a Generalized Poisson Process”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2008, no. 3(4), 22–31
Citation in format AMSBIB
\Bibitem{Sem08}
\by A.~T.~Semenov
\paper Asymptotic Expansions of the Ruin Probability for a~Generalized Poisson Process
\jour Vestn. Tomsk. Gos. Univ. Mat. Mekh.
\yr 2008
\issue 3(4)
\pages 22--31
\mathnet{http://mi.mathnet.ru/vtgu110}
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    Вестник Томского государственного университета. Математика и механика
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