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Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
16 references·0 citing·33 second hop
Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest (2019)Asymptotics for a delay-claim risk model …On pairwise quasi-asymptotically independent random variables and their applications (2013)On pairwise quasi-asymptotica…Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Uniform asymptotics for the f…Quantitative Risk Management (2012)Quantitative Risk ManagementUniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)Uniform Asymptotics for the F…Quantitative Risk Management (2011)Quantitative Risk ManagementA note on a dependent risk model with constant interest rate (2011)A note on a dependent risk mo…Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009)Sums of Pairwise Quasi-Asympt…Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables (2008)Asymptotic Tail Probabilities…The compound binomial risk model with time-correlated claims (2006)The compound binomial risk mo…On Ultimate Ruin in a Delayed-Claims Risk Model (2005)On Ultimate Ruin in a Delayed…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…Ruin probabilities for time-correlated claims in the compound binomial model (2001)Ruin probabilities for time-c…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Ruin probabilities allowing for delay in claims settlement (1985)Ruin probabilities allowing f…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)Modelling Extremal Events (1997)Ruin probabilities in the presence of heavy-tails and interest rates (1998)Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables (2012)Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model (2012)An Introduction to Copulas (1999)Tail behavior of the product of two dependent random variables with applications to risk theory (2012)Mathematical Fun with the Compound Binomial Process (1988)Risk theory in a Markovian environment (1989)The Probability of Eventual Ruin in the Compound Binomial Model (1989)Collective Risk Theory (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)Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004)Precise large deviations for dependent random variables with heavy tails (2009)Subexponentiality of the product of independent random variables (1994)The finite-time ruin probability of the compound Poisson model with constant interest force (2005)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Ruin Probabilities (2000)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Single-big-jump principle in physical modeling (2019)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation (2010)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)What is the Best Risk Measure in Practice? A Comparison of Standard Measures (2013)Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying (2020)
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References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2011Quantitative Risk Management985 cited
  • 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks346 cited
  • 2011Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate235 cited
  • 2003Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory138 cited
  • 2009Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation134 cited
  • 2008Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables125 cited
  • 2001Ruin probabilities for time-correlated claims in the compound binomial model113 cited
  • 2012Quantitative Risk Management108 cited
  • 2011A note on a dependent risk model with constant interest rate89 cited
  • 2012Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models86 cited
  • 2005On Ultimate Ruin in a Delayed-Claims Risk Model83 cited
  • 2004Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation78 cited
  • 2013On pairwise quasi-asymptotically independent random variables and their applications

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74 cited
  • 1985Ruin probabilities allowing for delay in claims settlement69 cited
  • 2006The compound binomial risk model with time-correlated claims67 cited
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