Asymptotic expansions for distributions of the surplus prior and at the time of ruin

Dmitrii S. Silvestrov

Department of Mathematics and Physics, Mälardalen University, Box 883, SE-721 23 Västerås, Sweden

Abstract: Asymptotic expansions for the distribution of the surplus prior to and at the time of a ruin are given for nonlinearly perturbed risk processes.

Keywords: Risk process, ruin probability, surplus prior, surplus at the time of ruin, nonlinear perturbation, asymptotic expansion.

MSC: 60K15, 60F17, 60K20

Language: English

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