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Vaios Dermitzakis Konstadinos Politis 《Methodology and Computing in Applied Probability》2011,13(4):749-761
We obtain the asymptotic behaviour of the k-th moment of the time to ruin in the classical risk model perturbed by diffusion for the case where the claim size distribution
has a heavy tail. 相似文献
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Vaios Dermitzakis Susan M. Pitts Konstadinos Politis 《Methodology and Computing in Applied Probability》2010,12(1):155-175
We obtain analogues of Lundberg’s inequality and the Cramér—Lundberg asymptotic relationship for the k-th moment of the time to ruin in the classical risk model. We also derive the asymptotic behaviour of the mean time to ruin
when the claim size distribution has a heavy or intermediate tail. 相似文献
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