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Scandinavian Actuarial Journal Volume 2005, 2005 - Issue 6
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Original Article

Lundberg parameters for non standard risk processes

Claudio Macci Dipartimento di Matematica, Università degli Studi di Roma “Tor Vergata”, Via della Ricerca Scientifica, I-00133, Roma, ItaliaCorrespondence[email protected]
,
Gabriele Stabile Dipartimento di Matematica per le Decisioni Economiche Finanziarie ed Assicurative, Università degli Studi di Roma “La Sapienza”, Via del Castro Laurenziano 9, I-00161, Roma, Italia
&
Giovanni Luca Torrisi Istituto per le Applicazioni del Calcolo “Mauro Picone” (IAC), Consiglio Nazionale delle Ricerche (CNR), Viale del Policlinico 137, I-00161, Roma, Italia
Pages 417-432 | Published online: 21 Aug 2006

Citations (18)

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Read on this site (4)

Hui Jiang & Qingshan Yang. (2021) Sample path large deviations for the multiplicative Poisson shot noise process with compensation. Stochastics 93:3, pages 447-477.
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Mathieu Boudreault, Hélène Cossette, David Landriault & Etienne Marceau. (2006) On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian Actuarial Journal 2006:5, pages 265-285.
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Claudio Macci. (2006) Large deviations for risk models in which each main claim induces a delayed claim. Stochastics 78:2, pages 77-89.
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Hansjörg Albrecher & S⊘ren Asmussen c. (2006) Ruin probabilities and aggregrate claims distributions for shot noise Cox processes. Scandinavian Actuarial Journal 2006:2, pages 86-110.
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Articles from other publishers (14)

Giovanni Luca Torrisi & Emilio Leonardi. (2022) Asymptotic analysis of Poisson shot noise processes, and applications. Stochastic Processes and their Applications 144, pages 229-270.
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Guodong Pang & Murad S. Taqqu. (2019) Nonstationary self‐similar Gaussian processes as scaling limits of power‐law shot noise processes and generalizations of fractional Brownian motion. High Frequency 2:2, pages 95-112.
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Soohan Ahn, Andrei L. Badescu, Eric C.K. Cheung & Jeong-Rae Kim. (2018) An IBNR–RBNS insurance risk model with marked Poisson arrivals. Insurance: Mathematics and Economics 79, pages 26-42.
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Guodong Pang & Yuhang Zhou. (2018) Functional limit theorems for a new class of non-stationary shot noise processes. Stochastic Processes and their Applications 128:2, pages 505-544.
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Guodong Pang & Yi Zheng. (2017) On the functional and local limit theorems for Markov modulated compound Poisson processes. Statistics & Probability Letters 129, pages 131-140.
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Chengguo Weng, Yi Zhang & Ken Seng Tan. (2012) Tail Behavior of Poisson Shot Noise Processes under Heavy-tailed Shocks and Actuarial Applications. Methodology and Computing in Applied Probability 15:3, pages 655-682.
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Julien Trufin, Hansjörg Albrecher & Michel Denuit. (2011) Ruin problems under IBNR dynamics. Applied Stochastic Models in Business and Industry 27:6, pages 619-632.
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Gabriele Stabile & Giovanni Luca Torrisi. (2010) Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions. Statistics & Probability Letters 80:15-16, pages 1200-1209.
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Charles Bordenave & Giovanni Luca Torrisi. (2016) Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications. Advances in Applied Probability 40:2, pages 293-320.
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Claudio Macci. (2008) Large deviations for the time-integrated negative parts of some processes. Statistics & Probability Letters 78:1, pages 75-83.
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A. Ganesh, C. Macci & G. L. Torrisi. (2007) A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling. Queueing Systems 55:2, pages 83-94.
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Ayalvadi Ganesh & Giovanni Luca Torrisi. (2016) A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions. Journal of Applied Probability 43:4, pages 916-926.
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Claudio Macci & Gabriele Stabile. (2016) Large deviations for risk processes with reinsurance. Journal of Applied Probability 43:3, pages 713-728.
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Ayalvadi Ganesh, Claudio Macci & Giovanni Torrisi. (2005) Sample Path Large Deviations Principles for Poisson Shot Noise Processes and Applications. Electronic Journal of Probability 10:none.
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