Ruin probability with claims modeled by a stationary ergodic stable process.
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Publication:1872170
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Cited in
(29)- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey
- Stable random fields indexed by finitely generated free groups
- Ruin problem and how fast stochastic processes mix
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- Long memory and self-similar processes
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- Null flows, positive flows and the structure of stationary symmetric stable processes
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift
- Exchangeable claim sizes in a compound Poisson-type process
- Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
- Stochastic stability of some state-dependent growth-collapse processes
- Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Ruin probability with certain stationary stable claims generated by conservative flows
- Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes
- A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular \(\mathbb{Z}^d\)-actions
- Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process
- Asymptotics for the time of ruin in the war of attrition
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- Sample-path large deviations for a class of heavy-tailed Markov-additive processes
- A ruin model with dependence between claim sizes and claim intervals
- Ruin probabilities for Bayesian exchangeable claims processes
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