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Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika, 2008, Number 3(4), Pages 22–31
(Mi vtgu110)
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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
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
Linking options:
https://www.mathnet.ru/eng/vtgu110 https://www.mathnet.ru/eng/vtgu/y2008/i3/p22
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Abstract page: | 208 | Full-text PDF : | 85 | First page: | 1 |
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