Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims (Q2796933): Difference between revisions

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English	Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims	scientific article

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scholarly article

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title

Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims (English)

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zbMATH Open document ID

1419.62297

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DOI

10.1080/03610926.2013.815210

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Communications in Statistics - Theory and Methods

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publication date

30 March 2016

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Mathematics Subject Classification ID

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heavy tail

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investment return process

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Lévy process

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renewal risk model

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ruin probability

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two-sided linear process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2013.815210

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OpenAlex ID

W1880529625

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cites work

Subexponentiality of the product of independent random variables

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Financial Modelling with Jump Processes

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Optimal portfolios when stock prices follow an exponential Lévy process

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Optimal Portfolios with Bounded Capital at Risk

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Exponential smoothing and credibility theory

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Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

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Power tailed ruin probabilities in the presence of risky investments.

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Integrated insurance risk models with exponential Lévy investment

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Q4435813

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Q4937701

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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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Randomly weighted sums of subexponential random variables with application to ruin theory

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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

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Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

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On the supremum of an infinitely divisible process

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Ruin probabilities for a~risk process with stochastic return on investments.

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On the renewal risk process with stochastic interest

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Sitelinks

Mathematics(1 entry)

mardi Publication:2796933

@@ Property / author @@
-Ding Cheng Wang
@@ Property / author: Ding Cheng Wang / rank @@
-Normal rank
@@ Property / author @@
+Ding Cheng Wang
@@ Property / author: Ding Cheng Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610926.2013.815210
+Normal rank
@@ Property / OpenAlex ID @@
+W1880529625
@@ Property / OpenAlex ID: W1880529625 / rank @@
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when stock prices follow an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+Optimal Portfolios with Bounded Capital at Risk
@@ Property / cites work: Optimal Portfolios with Bounded Capital at Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential smoothing and credibility theory
@@ Property / cites work: Exponential smoothing and credibility theory / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
+Normal rank
@@ Property / cites work @@
+Power tailed ruin probabilities in the presence of risky investments.
+Normal rank
@@ Property / cites work @@
+Integrated insurance risk models with exponential Lévy investment
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of subexponential random variables with application to ruin theory
+Normal rank
@@ Property / cites work @@
+Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
+Normal rank
@@ Property / cites work @@
+Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
+Normal rank
@@ Property / cites work @@
+On the supremum of an infinitely divisible process
+Normal rank
@@ Property / cites work @@
+Ruin probabilities for a~risk process with stochastic return on investments.
+Normal rank
@@ Property / cites work @@
+On the renewal risk process with stochastic interest
+Normal rank