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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims (2016)Asymptotic ruin probabilities for a multi…Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims (2014)Asymptotic finite-time ruin p…Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Uniform asymptotics for the f…Risk Measures and Multivariate Extensions of Breiman's Theorem (2012)Risk Measures and Multivariat…Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model (2012)Asymptotic Results for Ruin P…Tail Risk of Multivariate Regular Variation (2010)Tail Risk of Multivariate Reg…On optimal portfolio diversification with respect to extreme risks (2010)On optimal portfolio diversif…Multivariate models for operational risk (2010)Multivariate models for opera…Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (2010)Asymptotics for the ruin prob…Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…On the ruin probabilities of a bidimensional perturbed risk model (2006)On the ruin probabilities of …Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004)Finite- and infinite-time rui…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Subexponentiality of the product of independent random variables (1994)Multivariate Models and Dependence Concepts (1998)Continuous Martingales and Brownian Motion (1999)Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks (2014)A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model (2016)Applied Probability and Queues (1987)Modelling Extremal Events (1997)Generalized autoregressive conditional heteroskedasticity (1986)Copulas: Tales and facts (2006)Statistical inference for time-varying ARCH processes (2006)The extremogram: A correlogram for extreme events (2009)An Introduction to Copulas (1999)Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)What is the Best Risk Measure in Practice? A Comparison of Standard Measures (2013)Stochastic Processes for Insurance and Finance (2001)A Two-Dimensional Risk Model with Proportional Reinsurance (2011)Financial Modelling with Jump Processes (2003)The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Pareto Copula, Aggregation of Risks, and the Emperor's Socks (2008)Implementing loss distribution approach for operational risk (2009)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)Extreme Correlation of International Equity Markets (2001)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)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)
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References

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  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2004Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments146 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited
  • 2012Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models86 cited
  • 2010Multivariate models for operational risk75 cited
  • 2010Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims74 cited
  • 2006On the ruin probabilities of a bidimensional perturbed risk model74 cited
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  • 2012Risk Measures and Multivariate Extensions of Breiman's Theorem45 cited
  • 2014Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims45 cited

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2012
Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
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