First-Rare-Event Times for Perturbed Risk Processes

Dmitrii Silvestrov
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Dmitrii Silvestrov: Stockholm University, Department of Mathematics

Chapter Chapter 5 in Perturbed Semi-Markov Type Processes I, 2022, pp 133-144 from Springer

Abstract: Abstract In this chapter, the results obtained in previous chapters are illustrated by applications to geometric type random sums. Necessary and sufficient conditions of convergence in distribution for first-rare-event times represented by geometric type random sums are formulated. Also, necessary and sufficient conditions of weak convergence for non-ruin distribution functions in the models of stable and diffusion approximations for perturbed risk processes are given. In this chapter includes two sections.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-92403-4_5

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DOI: 10.1007/978-3-030-92403-4_5

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