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Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
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Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008)Finite-Time Ruin Probability with Heavy-T…Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007)Association and heterogeneity…Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation (2006)Tail Probabilities of Randoml…The finite-time ruin probability of the compound Poisson model with constant interest force (2005)The finite-time ruin probabil…Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation (2004)Asymptotic ruin probabilities…Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory (2003)Randomly Weighted Sums of Sub…Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Precise estimates for the rui…Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails (2002)Estimates for the ruin probab…Ruin under interest force and subexponential claims: a simple treatment (2000)Ruin under interest force and…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Subexponential asymptotics fo…Ruin probabilities in the presence of heavy-tails and interest rates (1998)Ruin probabilities in the pre…Modelling Extremal Events (1997)Modelling Extremal EventsRuin estimates under interest force (1995)Ruin estimates under interest…Subexponentiality of the product of independent random variables (1994)Subexponentiality of the prod…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …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)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)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)On the tails of waiting-time distributions (1975)Stochastic Processes in Queueing Theory (1976)Precise large deviations for dependent random variables with heavy tails (2009)Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)Applied Probability and Queues (1987)Ruin models with investment income (2008)Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)Optimal risk and dividend distribution control models for an insurance company (2000)Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004)The theory of queues with a single server (1952)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Residual Life Time at Great Age (1974)Subexponential Distributions (2004)Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010)Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)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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  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
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  • 1994Subexponentiality of the product of independent random variables362 cited
  • 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks346 cited
  • 1995Ruin estimates under interest force181 cited
  • 1998Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities175 cited
  • 2003Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory138 cited
  • 1998Ruin probabilities in the presence of heavy-tails and interest rates113 cited
  • 2002Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails102 cited
  • 2005The finite-time ruin probability of the compound Poisson model with constant interest force99 cited
  • 2006Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation98 cited
  • 2007Association and heterogeneity of insured lifetimes in the Lee–Carter framework88 cited

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  • 2004Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation78 cited
  • 2000Ruin under interest force and subexponential claims: a simple treatment75 cited
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