Bibliography

Asmussen, S. (1987).

Applied Probability and Queues, John Wiley and Sons, New York.

Asmussen, S. (1999).

On the ruin problems for some adapted premium rules, MaPhySto Research Report No. 5. University of Aarhus, Denmark.

Burnecki, K. and Michna, Z. (2002).

Simulation of Pickands constants, Probability and Mathematical Statistics 22: 193-199.

Debicki, K., Michna, Z. and Rolski, T. (1998).

On the supremum from Gaussian processes over infinite horizon, Probability and Mathematical Statistics 18: 83-100.

Debicki, K., Michna, Z. and Rolski T. (2003).

Simulation of the asymptotic constant in some fluid models, Stochastic Models 19: 407-423.

Embrechts, P. and Maejima, M. (2002).

Selfsimilar Processes, Princeton University Press, Princeton and Oxford.

Gerber, H.  U. (1981).

On the probability of ruin in an autoregressive model, Mitteilung der Vereinigung Schweiz. Versicherungsmathematiker 2: 213-219.

Gerber, H.  U. (1982).

Ruin theory in a linear model, Insurance: Mathematics and Economics 1: 177-184.

Heath, D., Resnick, S. and Samorodnitsky, G. (1998).

Heavy tails and long range dependence in on/off processes and associated fluid models, Mathematics and Operations Research 23: 145-165.

Hüsler, J. and Piterbarg, V. (1999).

Extremes of certain class of Gaussian processes, Stochastic Processes and their Applications 83: 338-357.

Embrechts, P. and Maejima, M. (1987).

Limit Theorems for Stochastic Processes, Springer, Berlin Heidelberg.

Lamperti, J. (1962).

Semi-stable stochastic processes, Transection of the American Mathematical Society. 104: 62-78.

Mandelbrot, B.  B. and Van Ness, J.  W. (1968).

Fractional Brownian motions, fractional noises and applications, SIAM Review 10: 422-437.

Michna, Z. (1998).

Self-similar processes in collective risk theory, Journal of Applied Mathematics and Stochastic Analysis 11: 429-448.

Müller, A. and Pflug, G. (2001).

Asymptotic ruin probabilities for risk processes with dependent increments, Insurance: Mathematics and Economics 28: 381-392.

Norros, I. (1994).

A storage model with self-similar input, Queueing Systems 16: 387-396.

Norros, I., Valkeila, E. and Virtamo, J. (1999).

A Girsanov type theorem for the fractional Brownian motion, Bernoulli 5: 571-587.

Nyrhinen, H. (1998).

Rough description of ruin for general class of surplus process, Adv. Appl. Probab. 30: 107-119.

Nyrhinen, H. (1999a).

On the ruin probabilities in a general economic environment, Stoch. Proc. Appl. 83: 319-330.

Nyrhinen, H. (1999b).

Large deviations for the time of ruin, J. Appl. Probab. 36: 733-746.

Piterbarg, V.  I. (1996).

Asymptotic methods in the theory of Gaussian processes and fields, Translations of Mathematical Monographs 148, AMS, Providence.

Promislow, S.  D. (1991).

The probability of ruin in a process with dependent increments, Insurance: Mathematics and Economics 10: 99-107.