Cover Image

Exact asymptotics of the ruin probability in the Sparre Andersen model

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Promyslov, Platon
Format:	Preprint
Published:	2026
Subjects:	Probability 60G50, 60G51, 60K05, 91G05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Exact solution of the ruin problem in the Cramér--Lundberg model with proportional investment
by: Promyslov, Platon, et al.
Published: (2026)

On the exact survival probability by setting discrete random variables in E. Sparre Andersen's model
by: Grigutis, Andrius
Published: (2023)

Distributional equations and the ruin problem for the Sparre Andersen model with investments
by: Kabanov, Yuri, et al.
Published: (2025)

Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment
by: Promyslov, Platon
Published: (2026)

A characterization of ruin-inducing probability measures in a renewal risk model
by: Tzaninis, Spyridon M., et al.
Published: (2026)

Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory
by: Gervė, Simonas, et al.
Published: (2022)

Ruin probability for renewal risk models with neutral net profit condition
by: Grigutis, Andrius, et al.
Published: (2023)

Viscosity solutions of the integro-differential equation for the Cramér--Lundberg model with annuity payments and investments
by: Promyslov, Platon
Published: (2026)

Regularity and asymptotics of densities of inverse subordinators
by: Ascione, Giacomo, et al.
Published: (2023)

Asymptotics of survival probabilities and lower tail probability problem
by: Boyarchenko, Svetlana, et al.
Published: (2025)

Multivariate Tempered Space-Fractional Negative Binomial Process and Risk Models with Shocks
by: Pathak, Ashok Kumar, et al.
Published: (2024)

Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies
by: Sojmark, Andreas, et al.
Published: (2023)

Bivariate Tempered Space-Fractional Poisson Process and Shock Models
by: Soni, Ritik, et al.
Published: (2023)

Stationary switching random walks
by: Vysotsky, Vladislav
Published: (2024)

Sinaĭ excursions: An analogue of Sparre Andersen's formula for the area process of a random walk
by: Donderwinkel, Serte, et al.
Published: (2024)

Kac-Stroock type approximations for the Brownian motion
by: Bardina, Xavier, et al.
Published: (2025)

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
by: Hoffmeyer, Allen, et al.
Published: (2026)

Generalized Fractional Risk Process
by: Soni, Ritik, et al.
Published: (2024)

A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
by: Tzaninis, Spyridon M., et al.
Published: (2020)

A Poisson representation of the positive sojourn time of Lévy processes
by: Pitters, Helmut H.
Published: (2025)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
by: Hoffmeyer, Allen, et al.
Published: (2026)

Gaussian heat kernel asymptotics for conditioned random walks
by: Grama, Ion, et al.
Published: (2024)

Fractional Compound Poisson Random Fields on Plane
by: Vishwakarma, P., et al.
Published: (2025)

On certain integral functionals of integer-valued subordinators
by: Hu, Dongdong, et al.
Published: (2025)

Higher order approximations in arcsine laws for subordinators
by: Sera, Toru
Published: (2024)

Real roots of random polynomials: asymptotics of the variance
by: Do, Yen Q., et al.
Published: (2023)

The Mean Field Market Model Revisited
by: Hasenbichler, Manuel, et al.
Published: (2023)

An alternative formulation of the discrete-time fractional Poisson process
by: Yoshida, Naohiro
Published: (2026)

A covariance formula for the number of excursion set components of Gaussian fields and applications
by: Beliaev, Dmitry, et al.
Published: (2023)

Three central limit theorems for the unbounded excursion component of a Gaussian field
by: McAuley, Michael
Published: (2024)

High local maxima of stationary smooth Gaussian fields
by: Beliaev, Dmitry, et al.
Published: (2026)

Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
by: Pérez, José Luis, et al.
Published: (2021)

The structure of entrance and exit at infinity for time-changed Lévy processes
by: Baguley, Samuel, et al.
Published: (2024)

Gaskets of $O(2)$ loop-decorated random planar maps
by: Kammerer, Emmanuel
Published: (2024)

A dice game, a multinomial walk, and the inverted Dirichlet distribution
by: Leobacher, Gunther, et al.
Published: (2026)

Multitype Lévy trees as scaling limits of multitype Bienaymé-Galton-Watson trees
by: Hernández, Osvaldo Angtuncio, et al.
Published: (2025)

Cutoff for random walk on random graphs with a community structure
by: Hermon, Jonathan, et al.
Published: (2022)

On Khinchin's theorem about the special role of the Gaussian distribution
by: Khachatryan, Linda A.
Published: (2023)

Convergence of Random Walks in $\ell_p$-Spaces of Growing Dimension
by: Jin, Bochen
Published: (2025)

Random Bridges in Spaces of Growing Dimension
by: Jin, Bochen
Published: (2025)