Finite and infinite time ruin probabilities in a stochastic economic environment.
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Publication:1879535
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- Implicit renewal theory and tails of solutions of random equations
- Large deviations for the time of ruin
- On the ruin probabilities in a general economic environment
- On the typical level crossing time and path
- Present value distributions with applications to ruin theory and stochastic equations
- Regular variation in the tail behaviour of solutions of random difference equations
- Risk theory in a stochastic economic environment
- Rough descriptions of ruin for a general class of surplus processes
- Ruin probabilities expressed in terms of ladder height distributions
- Ruin problems with assets and liabilities of diffusion type
- Ruin theory with stochastic return on investments
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Cited in
(90)- Approximation of the tail probability of randomly weighted sums and applications
- Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
- On the ruin probabilities in a general economic environment
- Pointwise estimates for first passage times of perpetuity sequences
- Interplay of subexponential and dependent insurance and financial risks
- On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
- Large deviations for generalized compound Poisson risk models and its bankruptcy moments
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- Wealth investment strategies for insurance companies and the probability of ruin
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Tails of higher-order moments with dominatedly varying summands
- Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process
- Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
- Weak limits of random coefficient autoregressive processes and their application in ruin theory
- Ruin with insurance and financial risks following the least risky FGM dependence structure
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Finite time ruin probability with heavy-tailed insurance and financial risks
- Problems of ruin and survival in economics: applications of limit theorems in probability
- Approximations of the tail probability of the product of dependent extremal random variables and applications
- The impact on ruin probabilities of the association structure among financial risks
- Ruin probabilities with a Markov chain interest model
- Ruin probability in the presence of risky investments
- A nonhomogeneous risk model for insurance
- The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
- The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- The finite time ruin probability with the same heavy-tailed insurance and financial risks
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- Estimate for the finite-time ruin probability in the discrete-time risk model with insurance and financial risks
- In the insurance business risky investments are dangerous: the case of negative risk sums
- On stochastic difference equations in insurance ruin theory
- Ruin theory for classical risk process that is perturbed by diffusion with risky investments
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- The maximum of randomly weighted sums with long tails in insurance and finance
- Randomly weighted sums of dependent subexponential random variables
- On the ruin probability in a dependent discrete time risk model with insurance and financial risks
- Efficient rare-event simulation for perpetuities
- Asymptotic results for renewal risk models with risky investments
- Some properties of the exponential distribution class with applications to risk theory
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Ruin probabilities with insurance and financial risks having an FGM dependence structure
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Large deviations for the time of ruin
- Exact simulation of generalised Vervaat perpetuities
- Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
- A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
- A necessary and sufficient condition for the subexponentiality of the product convolution
- ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
- Interplay of insurance and financial risks in a stochastic environment
- Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- Power estimates for ruin probabilities
- An application of risk theory to mortgage lending
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- Approximations for the distribution of perpetuities with small discount rates
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- The tail probability of the product of dependent random variables from max-domains of attraction
- On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
- Distributional equations and the ruin problem for the Sparre Andersen model with investments
- A revisit to tail risk measures in the presence of bivariate regularly varying tailed insurance and financial risks
- Asymptotic analysis of a contagion risk measure with some dependence structures
- On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory
- Estimates for the finite-time ruin probability with insurance and financial risks
- Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks
- A Breiman's theorem for a conditional dependent random vector and its applications to risk theory
- Randomly weighted sums of dependent subexponential random variables with application to systemic risk
- Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
- Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
- An optimal consumption problem in finite time with a constraint on the ruin probability
- Mathematical model of banking operation
- Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Integrated insurance risk models with exponential Lévy investment
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