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Asymptotic ruin probabilities for risk processes with dependent increments
8 references·1 citing·34 second hop
Asymptotic ruin probabilities for risk processes with dependent increments (2001)Asymptotic ruin probabilities for risk pr…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Tail probabilities for non-standard risk and queueing processes with subexponential jumps (1999)Tail probabilities for non-st…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…On the ruin probabilities in a general economic environment (1999)On the ruin probabilities in …Modeling and Comparing Dependencies in Multivariate Risk Portfolios (1998)Modeling and Comparing Depend…Stop-loss order for portfolios of dependent risks (1997)Stop-loss order for portfolio…Ruin theory in the linear model (1982)Ruin theory in the linear mod…Risk Model of Good and Bad Periods (2005)Risk Model of Good and Bad Pe…Fractional Brownian Motions, Fractional Noises and Applications (1968)Applied Probability and Queues (1987)A storage model with self-similar input (1994)Experience Rating and Credibility (1967)A Stochastic Investment Model for Actuarial Use (1984)Ruin theory with stochastic return on investments (1997)The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005)Approximation of the tail probability of randomly weighted sums and applications (2008)Ruin models with investment income (2008)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Subexponentiality of the product of independent random variables (1994)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)Precise large deviations of aggregate claims in a size-dependent renewal risk model (2012)Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims (2013)Dependency of Risks and Stop-Loss Order (1996)Stochastic bounds on sums of dependent risks (1999)Stochastic Comparison of Random Vectors with a Common Copula (2001)Risk aggregation with dependence uncertainty (2013)The Dual Theory of Choice under Risk (1987)Effective actuarial methods (1990)Tail Dependence from a Distributional Point of View (2003)A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009)An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Rough descriptions of ruin for a general class of surplus processes (1998)MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE (2003)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)
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References

  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 1997Stop-loss order for portfolios of dependent risks154 cited
  • 1998Modeling and Comparing Dependencies in Multivariate Risk Portfolios113 cited
  • 1999On the ruin probabilities in a general economic environment112 cited
  • 1999Tail probabilities for non-standard risk and queueing processes with subexponential jumps100 cited
  • 1982Ruin theory in the linear model79 cited

Cited by

  • 2005Risk Model of Good and Bad Periods0 cited

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