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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

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References

1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
1977Asymptotic behaviour of Wiener-Hopf factors of a random walk225 cited
1997Large deviations of heavy-tailed random sums with applications in insurance and finance176 cited
1979A self-correcting point process140 cited
1996Large deviations results for subexponential tails, with applications to insurance risk117 cited
1999Tail probabilities for non-standard risk and queueing processes with subexponential jumps100 cited
2008Risk Processes with Non-stationary Hawkes Claims Arrivals80 cited
1988Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution71 cited

Cited by

2015Limit Theorems for Marked Hawkes Processes with Application to a Risk Model63 cited
2017A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK27 cited
2015Limit theorems for discrete Hawkes processes26 cited

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