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Simple approximations of ruin probabilities
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Simple approximations of ruin probabilities (2000)Simple approximations of ruin probabiliti…Ruin Probabilities (2000)Ruin ProbabilitiesModelling Extremal Events (1997)Modelling Extremal EventsGeometric Sums: Bounds for Rare Events with Applications (1997)Geometric Sums: Bounds for Ra…Large deviations results for subexponential tails, with applications to insurance risk (1996)Large deviations results for …On the Mathematical Theory of Risk (1994)On the Mathematical Theory of…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Collective risk theory: A survey of the theory from the point of view of the theory of stochastic processes (1994)Collective risk theory: A sur…Aspects of Risk Theory (1991)Aspects of Risk TheoryEstimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue (1982)Conditioned limit theorems re…A practical solution to the problem of ultimate ruin probability (1978)A practical solution to the p…Calculation of Ruin Probabilities when the Claim Distribution is Lognormal (1977)Calculation of Ruin Probabili…A class of approximations of ruin probabilities (1977)A class of approximations of …On the tails of waiting-time distributions (1975)On the tails of waiting-time …Exemplification of Ruin Probabilities (1971)Exemplification of Ruin Proba…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)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)Applied Probability and Queues (1987)Overshoots and undershoots of Levy processes (2005)Overshoots and undershoots of Lévy processes (2006)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)Extreme Values in the GI/G/1 Queue (1972)Asymptotic behaviour of Wiener-Hopf factors of a random walk (1977)Subexponentiality and infinite divisibility (1979)Subexponentiality of the product of independent random variables (1994)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)Power tailed ruin probabilities in the presence of risky investments (2002)On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004)Processor sharing: A survey of the mathematical theory (2007)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Anomalous waiting times in high-frequency financial data (2004)The application of continuous-time random walks in finance and economics (2005)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Three Methods to Calculate the Probability of Ruin (1989)On the dual risk model with tax payments (2008)On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency (2012)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1991Aspects of Risk Theory902 cited
  • 2000Ruin Probabilities447 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1997Geometric Sums: Bounds for Rare Events with Applications264 cited
  • 1975On the tails of waiting-time distributions226 cited
  • 1994On the Mathematical Theory of Risk196 cited
  • 1996Large deviations results for subexponential tails, with applications to insurance risk117 cited
  • 1994Collective risk theory: A survey of the theory from the point of view of the theory of stochastic processes94 cited
  • 1977A class of approximations of ruin probabilities90 cited
  • 1982Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue75 cited
  • 1978A practical solution to the problem of ultimate ruin probability62 cited
  • 1977Calculation of Ruin Probabilities when the Claim Distribution is Lognormal55 cited
  • 1971Exemplification of Ruin Probabilities45 cited

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