Ruin under interest force and subexponential claims: a simple treatment.

Cites work

scientific article; zbMATH DE number 1026574 (Why is no real title available?)
Ruin estimates under interest force
Ruin probabilities in the presence of heavy-tails and interest rates
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
The adjustment function in ruin estimates under interest force

Cited in

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The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
The limit behavior of a risk model based on entrance processes
Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
On the distribution of surplus immediately after ruin under interest force and subexponential claims
Ruin probabilities as functions of the roots of a polynomial
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
A note on a dependent risk model with constant interest rate
Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
Asymptotics for the finite-time ruin probability of a risk model with a general counting process
Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
A local limit theorem for random walk maxima with heavy tails
Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
The probabilities of absolute ruin in the renewal risk model with constant force of interest
The finite-time ruin probability of the compound Poisson model with constant interest force
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001)
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
Ruin Problems with Worsening Risks or with Infinite Mean Claims
Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
Uniform asymptotics for discounted aggregate claims in dependent risk models
A note on discounted compound renewal sums under dependency
On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

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