| Publication | Date of Publication | Type |
|---|
Efficient pricing and greeks estimation for variable annuities under a multivariate OUSV model
Insurance Mathematics & Economics | 2026-03-12 | Paper |
A revisit to tail risk measures in the presence of bivariate regularly varying tailed insurance and financial risks
Nonlinear Analysis. Modelling and Control | 2026-02-25 | Paper |
Equilibrium strategy in a non-performing loan securitization game with regime switching
Journal of Industrial and Management Optimization | 2026-02-18 | Paper |
Asymptotics for a discounted systemic risk measure in a multi-dimensional risk model with dependent claim sizes and stochastic return
Journal of Multivariate Analysis | 2026-01-19 | Paper |
Asymptotic behavior of finite-time ruin probabilities in a bidimensional compound risk model
Statistics & Probability Letters | 2025-12-18 | Paper |
A community detection algorithm based on spectral co-clustering and weight self-adjustment in attributed stochastic co-block models
Computational Statistics | 2025-11-24 | Paper |
Second-order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
Journal of Computational and Applied Mathematics | 2025-11-05 | Paper |
Portfolio default losses driven by idiosyncratic risks
European Journal of Operational Research | 2025-05-19 | Paper |
Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Asymptotic behavior of the finite-time ruin probability in a dependent risk model with stochastic return and perturbation
Advances in Mathematics (Beijing) | 2024-07-29 | Paper |
Asymptotics for value at risk and conditional tail expectation of a portfolio loss
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Asymptotics for credit portfolio losses due to defaults in a multi-sector model
Annals of Operations Research | 2024-07-16 | Paper |
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
Tail behavior of discounted portfolio loss under upper tail comonotonicity
Journal of Industrial and Management Optimization | 2024-02-05 | Paper |
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
Science China. Mathematics | 2024-01-18 | Paper |
| scientific article; zbMATH DE number 7708735 (Why is no real title available?) | 2023-07-07 | Paper |
Prediction models with graph kernel regularization for network data
Journal of Applied Statistics | 2023-07-03 | Paper |
Nonparametric estimation of some dividend problems in the perturbed compound Poisson model
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
A consistent estimation of optimal dividend strategy in a risk model with delayed claims
Communications in Statistics. Simulation and Computation | 2022-12-13 | Paper |
Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
Journal of Theoretical Probability | 2022-11-21 | Paper |
Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
| scientific article; zbMATH DE number 7492000 (Why is no real title available?) | 2022-03-17 | Paper |
Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
Journal of Industrial and Management Optimization | 2022-02-16 | Paper |
Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
Nonlinear Analysis: Modelling and Control | 2022-02-15 | Paper |
Asymptotics for the infinite-time absolute ruin probabilities in time-dependent renewal risk models
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
Acta Mathematicae Applicatae Sinica. English Series | 2021-11-04 | Paper |
Asymptotics for systemic risk with dependent heavy-tailed losses
ASTIN Bulletin | 2021-09-24 | Paper |
Asymptotics for ultimate ruin probability in a by-claim risk model
Nonlinear Analysis: Modelling and Control | 2021-06-10 | Paper |
Large portfolio losses in a turbulent market
European Journal of Operational Research | 2021-06-07 | Paper |
Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
Complexity | 2021-03-22 | Paper |
Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
Japan Journal of Industrial and Applied Mathematics | 2021-02-15 | Paper |
A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
Lithuanian Mathematical Journal | 2020-07-14 | Paper |
Interplay of financial and insurance risks in dependent discrete-time risk models
Statistics & Probability Letters | 2020-04-22 | Paper |
Bivariate regular variation among randomly weighted sums in general insurance
European Actuarial Journal | 2019-09-03 | Paper |
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
Journal of Industrial and Management Optimization | 2019-07-23 | Paper |
A note on the asymptotics for the randomly stopped weighted sums
Nonlinear Analysis: Modelling and Control | 2019-07-12 | Paper |
Interplay of insurance and financial risks in a stochastic environment
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Sharp asymptotics for large portfolio losses under extreme risks
European Journal of Operational Research | 2019-03-12 | Paper |
Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
Statistics & Probability Letters | 2019-02-20 | Paper |
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
Japan Journal of Industrial and Applied Mathematics | 2018-12-07 | Paper |
Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
Journal of Mathematical Analysis and Applications | 2018-10-18 | Paper |
Normal limiting distribution of the size of binary interval trees
Mathematical Problems in Engineering | 2018-08-27 | Paper |
Asymptotics for a discrete-time risk model with gamma-like insurance risks
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
Lithuanian Mathematical Journal | 2018-05-31 | Paper |
Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model
Statistics and Its Interface | 2018-05-08 | Paper |
On a perturbed compound Poisson model with varying premium rates
Journal of Industrial and Management Optimization | 2017-06-12 | Paper |
On extremal behavior of aggregation of largest claims
Communications in Statistics: Theory and Methods | 2017-04-27 | Paper |
Weak convergence for the fourth-order stochastic heat equation with fractional noises
Bulletin of the Malaysian Mathematical Sciences Society. Second Series | 2017-04-20 | Paper |
Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
Stochastic Models | 2017-04-13 | Paper |
Precise large deviations for aggregate claims
Communications in Statistics. Theory and Methods | 2016-06-30 | Paper |
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
Journal of Mathematical Analysis and Applications | 2016-06-09 | Paper |
Asymptotics for randomly weighted and stopped dependent sums
Stochastics | 2016-05-04 | Paper |
Tail behavior of the product of two dependent random variables with applications to risk theory
Extremes | 2016-01-25 | Paper |
| The key renewal theorem with multi-delay and applications to risk theory | 2016-01-15 | Paper |
The maxima and sums of multivariate non-stationary Gaussian sequences
Applied Mathematics. Series B (English Edition) | 2016-01-15 | Paper |
Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
Statistics & Probability Letters | 2015-12-01 | Paper |
Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model
Lithuanian Mathematical Journal | 2015-11-06 | Paper |
Extremes of Shepp statistics for fractional Brownian motion
Science China. Mathematics | 2015-09-25 | Paper |
Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
Journal of Computational and Applied Mathematics | 2015-06-02 | Paper |
The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
Applied Mathematics. Series B (English Edition) | 2015-02-11 | Paper |
Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate
Journal of Southeast University. English Edition | 2014-11-03 | Paper |
Uniform asymptotics for discounted aggregate claims in dependent risk models
Journal of Applied Probability | 2014-10-15 | Paper |
The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
Journal of the Korean Statistical Society | 2014-10-13 | Paper |
On closure properties of heavy-tailed distributions for random sums
Lithuanian Mathematical Journal | 2014-09-08 | Paper |
Asymptotics for tail probability of random sums with a heavy-tailed number and dependent increments
Communications in Statistics. Theory and Methods | 2014-08-18 | Paper |
Estimate for the finite-time ruin probability in the discrete-time risk model with insurance and financial risks
Communications in Statistics. Theory and Methods | 2014-08-18 | Paper |
A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
Abstract and Applied Analysis | 2014-06-23 | Paper |
Closure property and maximum of randomly weighted sums with heavy-tailed increments
Statistics & Probability Letters | 2014-06-12 | Paper |
| scientific article; zbMATH DE number 6288723 (Why is no real title available?) | 2014-04-25 | Paper |
Extremes and products of multivariate AC-product risks
Insurance Mathematics & Economics | 2014-04-03 | Paper |
Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
Lithuanian Mathematical Journal | 2014-01-15 | Paper |
Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
Lithuanian Mathematical Journal | 2014-01-15 | Paper |
Large deviations for random sums of differences between two sequences of random variables with applications to risk theory
Journal of Inequalities and Applications | 2013-12-11 | Paper |
Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
Statistics & Probability Letters | 2013-12-09 | Paper |
Uniform asymptotics for the finite-time ruin probability in a general risk model with pairwise quasi-asymptotically independent claims and constant interest force
Bulletin of the Korean Mathematical Society | 2013-10-31 | Paper |
Precise large deviations for dependent random variables with applications to the compound renewal risk model
Rocky Mountain Journal of Mathematics | 2013-09-20 | Paper |
Precise large deviations for compound random sums in the presence of dependence structures
Computers & Mathematics with Applications | 2013-07-25 | Paper |
| Estimates and numerical simulations for the finite-time ruin probability in an extended negatively dependent general risk model | 2013-06-20 | Paper |
Estimates for the tail probability of the supremum of a random walk with independent increments
Chinese Annals of Mathematics. Series B | 2013-02-22 | Paper |
Precise large deviations for widely orthant dependent random variables with dominatedly varying tails
Frontiers of Mathematics in China | 2012-12-06 | Paper |
Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
Journal of Mathematical Analysis and Applications | 2012-12-04 | Paper |
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
Statistics & Probability Letters | 2012-09-18 | Paper |
Uniform asymptotics for the ruin probability in a dependent risk model
Journal of Jiangsu University. Natural Science Edition | 2012-06-01 | Paper |
On the ruin probability in a dependent discrete time risk model with insurance and financial risks
Journal of Computational and Applied Mathematics | 2012-05-14 | Paper |
Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
Mathematical Problems in Engineering | 2012-04-03 | Paper |
Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
Journal of Systems Science and Complexity | 2011-11-17 | Paper |
Corrigendum to ``Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times''
Stochastic Processes and their Applications | 2011-08-04 | Paper |
| Precise large deviation results for heavy-tailed random sums and applications to risk theory | 2011-07-19 | Paper |
Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
Journal of Mathematical Analysis and Applications | 2011-07-18 | Paper |
Tail behavior of sums and maxima of sums of dependent subexponential random variables
Acta Applicandae Mathematicae | 2011-05-25 | Paper |
| Precise large deviations for sums of negatively quadrant dependent random variables belonging to the \(\mathcal{D}\) class | 2011-02-05 | Paper |
Local precise large deviations for sums of random variables with O-regularly varying densities
Statistics & Probability Letters | 2010-09-01 | Paper |
| Asymptotic estimate for the probability of an exceedance over negatively associated renewal thresholds and the ruin probability in dividend barrier models | 2010-07-08 | Paper |
The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
Statistics & Probability Letters | 2010-03-01 | Paper |
| Large deviations for random variables with two-sided distributions | 2010-02-12 | Paper |
Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
Statistics & Probability Letters | 2010-02-05 | Paper |
Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
Lithuanian Mathematical Journal | 2009-11-06 | Paper |
| scientific article; zbMATH DE number 5583846 (Why is no real title available?) | 2009-07-22 | Paper |
| scientific article; zbMATH DE number 5583459 (Why is no real title available?) | 2009-07-22 | Paper |
| The dominant relations and their applications on some subclasses of heavy-tailed distributions | 2009-04-28 | Paper |
| scientific article; zbMATH DE number 5524208 (Why is no real title available?) | 2009-03-06 | Paper |
| scientific article; zbMATH DE number 5504875 (Why is no real title available?) | 2009-02-09 | Paper |
| Asymptotical normality of the renewal process generated by identically distributed NA random variables | 2008-11-24 | Paper |
Precise asymptotics for a type of order statistics
Extremes | 2007-12-16 | Paper |
Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
Insurance Mathematics & Economics | 2007-09-03 | Paper |
| Some notes on the positive lattice long-tailed family | 2007-01-19 | Paper |
| scientific article; zbMATH DE number 5116743 (Why is no real title available?) | 2007-01-19 | Paper |
The structure and precise moderate deviations of random variables with dominatedly varying tails
Journal of Systems Science and Complexity | 2005-11-29 | Paper |
Some limit theorems for processes of product sums generated by non-stationary positively dependent random variables
Southeast Asian Bulletin of Mathematics | 2005-03-21 | Paper |
A random functional central limit theorem for processes of product sums of linear processes generated by martingale differences
Chinese Annals of Mathematics. Series B | 2004-03-07 | Paper |
A general law of precise asymptotics for the counting process of record times
Journal of Mathematical Analysis and Applications | 2003-11-20 | Paper |
