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Two-sided bounds of ruin probabilities
10 references·0 citing·37 second hop
Two-sided bounds of ruin probabilities (1996)Two-sided bounds of ruin probabilitiesCollective Risk Theory (2004)Collective Risk TheoryOn the Mathematical Theory of Risk (1994)On the Mathematical Theory of…Mathematical Methods in Queuing Theory (1994)Mathematical Methods in Queui…Aspects of Risk Theory (1991)Aspects of Risk TheoryApplied Probability and Queues (1987)Applied Probability and QueuesEstimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Stochastic Storage Processes (1980)Stochastic Storage ProcessesStochastic Processes in Queueing Theory (1976)Stochastic Processes in Queue…Ruin probabilities expressed in terms of ladder height distributions (1974)Ruin probabilities expressed …The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/ 1 (1962)The use of Spitzer's identity…Actuarial Mathematics. (1986)Nonparametric estimators for the probability of ruin (1990)Stable Lévy motion approximation in collective risk theory (1997)On the Time Value of Ruin (1998)Rough descriptions of ruin for a general class of surplus processes (1998)Loss Models: From Data to Decisions (1999)Mathematical Methods in Risk Theory (1970)Subexponential distributions and integrated tails (1988)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)When does ruin occur in the collective theory of risk? (1955)Probabilities of ruin (1982)Some Problems in the Theory of Queues (1951)The theory of queues with a single server (1952)Stochastic Processes Occurring in the Theory of Queues and their Analysis by the Method of the Imbedded Markov Chain (1953)On fluctuation problems in the theory of queues (1976)Analysis of the Exceptional Queueing System by the Use of Regenerative Processes and Analytical Methods (1980)Limits and Approximations for the Busy-Period Distribution in Single-Server Queues (1995)A First Course in Bulk Queues (1983)On Numerical Computations of Some Discrete-Time Queues (2000)A finite buffer queue with priorities (2002)Introduction to Queueing Systems (2012)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Large deviations results for subexponential tails, with applications to insurance risk (1996)Anomalous waiting times in high-frequency financial data (2004)The application of continuous-time random walks in finance and economics (2005)Processor-sharing queues: Some progress in analysis (1987)Analysis, Design, and Control of Queueing Systems (2002)Perpetual American Options Under Lévy Processes (2002)Approximating a Point Process by a Renewal Process, I: Two Basic Methods (1982)Martingale Methods in Financial Modelling (1997)Fluctuations of Lévy Processes with Applications (2014)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 1991Aspects of Risk Theory902 cited
  • 1976Stochastic Processes in Queueing Theory674 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1980Stochastic Storage Processes198 cited
  • 1994On the Mathematical Theory of Risk196 cited
  • 1994Mathematical Methods in Queuing Theory106 cited
  • 2004Collective Risk Theory81 cited
  • 1974Ruin probabilities expressed in terms of ladder height distributions49 cited
  • 1962The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/ 133 cited

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