Large deviations results for subexponential tails, with applications to insurance risk
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Cites work
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- A function space large deviation principle for certain stochastic integrals
- A large deviation estimate for ruin probabilities
- A large deviation theory proof of the abstract alphabet source coding theorem
- Approximations for the probability of ruin within finite time
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Conditioned limit theorems for random walks with negative drift
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
- Entropy, a useful concept in risk theory
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Estimation of ruin probabilities by means of hazard rates
- Excursion laws of Markov processes in classical duality
- How large delays build up in a GI/G/1 queue
- Ladder height distributions with marks
- Large claims approximations for risk processes in a Markovian environment
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Moderate- and large-deviation probabilities in actuarial risk theory
- On the excursions of Markov processes in classical duality
- Residual life time at great age
- Ruin probabilities via local adjustment coefficients
- Saddlepoint approximations for the probability of ruin in finite time
- Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
- Subexponential distributions and integrated tails
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
Cited in
(54)- Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- The overshoot of a random walk with negative drift
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- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
- Sample path large and moderate deviations for risk model with delayed claims
- State-independent importance sampling for random walks with regularly varying increments
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Moments and tails in monotone-separable stochastic networks.
- On large deviations of multivariate heavy-tailed random walks
- Closed-form option pricing for exponential Lévy models: a residue approach
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Two-dimensional ruin probability for subexponential claim size
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
- Passage time and fluctuation calculations for subexponential Lévy processes
- Path decomposition of ruinous behavior for a general Lévy insurance risk process
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Overshoots and undershoots of Lévy processes
- Efficient simulation of finite horizon problems in queueing and insurance risk
- Stability of the exit time for Lévy processes
- Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
- Simple approximations of ruin probabilities
- Refined behaviour of a conditioned random walk in the large deviations regime
- A note on Gerber-Shiu functions with an application
- Power estimates for ruin probabilities
- Subexponential potential asymptotics with applications
- Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- Ruin probabilities for a regenerative Poisson gap generated risk process
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- On exceedance times for some processes with dependent increments
- Conditional limit theorems for regulated fractional Brownian motion
- The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
- Cramér-Lundberg approximation for nonlinearly perturbed risk processes
- Finite time ruin probabilities for tempered stable insurance risk processes
- Insurance with borrowing: first- and second-order approximations
- On extreme ruinous behaviour of Lévy insurance risk processes
- Limiting behaviour of constrained sums of two variables and the principle of a single big jump
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Veraverbeke's theorem at large: on the maximum of some processes with negative drift and heavy tail innovations
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- Conditional law of risk processes given that ruin occurs
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
- The probability of ruin in finite time
- Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
- Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
- Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
- Precise large deviations for the prospective-loss process
- Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
- On the Gerber-Shiu function and change of measure
- Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
- Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models
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