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On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
12 references·0 citing·42 second hop
On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate (2013)On Joint Ruin Probabilities of a Two-Dime…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Ruin models with investment income (2008)Ruin models with investment i…A two-dimensional ruin problem on the positive quadrant (2007)A two-dimensional ruin proble…On the ruin probabilities of a bidimensional perturbed risk model (2006)On the ruin probabilities of …Dependence properties and bounds for ruin probabilities in multivariate compound risk models (2006)Dependence properties and bou…On the first time of ruin in the bivariate compound Poisson model (2005)On the first time of ruin in …Multivariate risk model of phase type (2005)Multivariate risk model of ph…Some results on ruin probabilities in a two-dimensional risk model (2003)Some results on ruin probabil…Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999) (2000)Stochastic Processes for Insu…Ruin Probabilities (2000)Ruin ProbabilitiesStochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…On the probability of ruin in the presence of a linear dividend barrier (1981)On the probability of ruin in…Recursive Calculation of Survival Probabilities (1991)The discrete-time risk model with correlated classes of business (2000)On a correlated aggregate claims model with Poisson and Erlang risk processes (2002)A Two-Dimensional Risk Model with Proportional Reinsurance (2011)Optimal proportional reinsurance with common shock dependence (2015)Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence (2016)Insurance Risk Models (1994)Dependency of Risks and Stop-Loss Order (1996)Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insurance and Finance (2001)Extremes of multidimensional Gaussian processes (2010)Optimal dividend strategies for two collaborating insurance companies (2017)Markov Models & Optimization (1993)Financial Calculus: An Introduction to Derivative Pricing. (1997)Arbitrage Theory in Continuous Time (1998)Conditional tail expectations for multivariate phase-type distributions (2005)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion (2006)The Gerber–Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier (2006)Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier (2007)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (2010)Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims (2014)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)On the Time Value of Ruin (1998)Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2009)Asymptotics in a time-dependent renewal risk model with stochastic return (2011)An extension of Paulsen–Gjessing’s risk model with stochastic return on investments (2013)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)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)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)
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References

  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2000Ruin Probabilities447 cited
  • 2000Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999)123 cited
  • 2008Ruin models with investment income108 cited
  • 2007A two-dimensional ruin problem on the positive quadrant103 cited
  • 2003Some results on ruin probabilities in a two-dimensional risk model97 cited
  • 1981On the probability of ruin in the presence of a linear dividend barrier83 cited
  • 2006On the ruin probabilities of a bidimensional perturbed risk model74 cited
  • 2005On the first time of ruin in the bivariate compound Poisson model73 cited
  • 2005Multivariate risk model of phase type71 cited
  • 2006Dependence properties and bounds for ruin probabilities in multivariate compound risk models48 cited

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