On the ruin probabilities in a general economic environment

DOI10.1016/S0304-4149(99)00030-7zbMATH Open0997.60041MaRDI QIDQ1613645FDOQ1613645

Harri Nyrhinen

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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zbMATH Keywords

large deviations theoryruin problemlevel-crossing probabilityinsurance mathematics

Mathematics Subject Classification ID

Large deviations (60F10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Large deviations of uniformly recurrent Markov additive processes
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• Rough limit results for level-crossing probabilities
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• Stochastic differential equations for ruin probabilities
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• Phase-type distributions and risk processes with state-dependent premiums
• On the probability of ruin of risk processes approximated by a diffusion process
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Cited In (69)

• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
• Weak limits of random coefficient autoregressive processes and their application in ruin theory
• Randomly weighted sums of dependent subexponential random variables
• Risk measures and multivariate extensions of Breiman's theorem
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• The impact on ruin probabilities of the association structure among financial risks
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Tail behavior of the product of two dependent random variables with applications to risk theory
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Ruin probabilities for a~risk process with stochastic return on investments.
• In the insurance business risky investments are dangerous: the case of negative risk sums
• Risk- and value-based management for non-life insurers under solvency constraints
• Ruin probabilities under general investments and heavy-tailed claims
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Power estimates for ruin probabilities
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Asymptotic ruin probabilities for risk processes with dependent increments.
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Some properties of the exponential distribution class with applications to risk theory
• Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Pointwise estimates for first passage times of perpetuity sequences
• Estimates for the finite-time ruin probability with insurance and financial risks
• Mathematical model of banking operation
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Power tailed ruin probabilities in the presence of risky investments.
• Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks
• Interplay of insurance and financial risks in a stochastic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization
• Ruin probabilities with insurance and financial risks having an FGM dependence structure
• The tail probability of the product of dependent random variables from max-domains of attraction
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Finite time ruin probability with heavy-tailed insurance and financial risks
• Interplay of subexponential and dependent insurance and financial risks
• Ruin probabilities with a Markov chain interest model
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Interplay of financial and insurance risks in dependent discrete-time risk models
• Ruin probabilities for discrete time risk models with stochastic rates of interest
• Large deviations for generalized compound Poisson risk models and its bankruptcy moments
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Ruin with insurance and financial risks following the least risky FGM dependence structure
• A necessary and sufficient condition for the subexponentiality of the product convolution
• Approximation of the tail probability of randomly weighted sums and applications
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• Approximations of the tail probability of the product of dependent extremal random variables and applications
• Discrete-Time Risk Models Based on Time Series for Count Random Variables

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