Boundary Crossing Problems for Compound Renewal Processes Full article
| Journal |
Siberian Mathematical Journal
ISSN: 0037-4466 , E-ISSN: 1573-9260 |
||
|---|---|---|---|
| Output data | Year: 2020, Volume: 61, Number: 1, Pages: 21–46 Pages count : DOI: 10.1134/S0037446620010036 | ||
| Tags | compound renewal process, boundary crossing problems, large deviation, ruin probability problem | ||
| Authors |
|
||
| Affiliations |
|
Abstract:
We find sharp asymptotics of the probability that the trajectory of a compound renewal process crosses (or does not cross) an arbitrary remote boundary. In particular, some limit theorems are obtained for the distribution of the maximum of the process in the domain of large deviations. We also give some applications to the classical ruin probability problem in insurance theory.
Cite:
Borovkov A.A.
Boundary Crossing Problems for Compound Renewal Processes
Siberian Mathematical Journal. 2020. V.61. N1. P.21–46. DOI: 10.1134/S0037446620010036 WOS Scopus OpenAlex
Boundary Crossing Problems for Compound Renewal Processes
Siberian Mathematical Journal. 2020. V.61. N1. P.21–46. DOI: 10.1134/S0037446620010036 WOS Scopus OpenAlex
Original:
Боровков А.А.
Граничные задачи для обобщенных процессов восстановления
Сибирский математический журнал. 2020. Т.61. №1. С.29–59. DOI: 10.33048/smzh.2020.61.103 РИНЦ OpenAlex
Граничные задачи для обобщенных процессов восстановления
Сибирский математический журнал. 2020. Т.61. №1. С.29–59. DOI: 10.33048/smzh.2020.61.103 РИНЦ OpenAlex
Dates:
| Submitted: | Aug 27, 2019 |
| Accepted: | Oct 18, 2019 |
| Published print: | Feb 26, 2020 |
Identifiers:
| Web of science: | WOS:000516567300003 |
| Scopus: | 2-s2.0-105003012516 |
| OpenAlex: | W3007853665 |