Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
From MaRDI portal
Publication:2111576
Recommendations
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Asymptotic estimates of finite-time ruin probabilities with dependent risks and CMC simulations
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
- Asymptotic ruin probabilities for risk model with random premium and stochastic return on investment
- Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
- Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
- Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
- Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
- A particular bidimensional time-dependent renewal risk model with constant interest rates
- Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
- Estimates for the finite-time ruin probability with insurance and financial risks
- Extremes on the discounted aggregate claims in a time dependent risk model
- Financial Modelling with Jump Processes
- Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
- On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case
- Probability distribution of returns in the Heston model with stochastic volatility
- Ruin probabilities under general investments and heavy-tailed claims
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
- Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
- Tail behavior of the product of two dependent random variables with applications to risk theory
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
- The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
- The ruin probability of a discrete-time risk model with a one-sided linear claim process
Cited in
(2)
This page was built for publication: Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2111576)