Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
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Cites work
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- Dependence and the asymptotic behavior of large claims reinsurance
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- Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
- Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
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Cited in
(12)- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims
- Asymptotics for a discounted systemic risk measure in a multi-dimensional risk model with dependent claim sizes and stochastic return
- Asymptotics for the ruin probability of a bidimensional renewal risk model with dependent main claims and delayed claims
- Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
- Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks
- Estimates for systemic risk measures in the presence of heavy tails
- Random vectors in the presence of a single big jump
- Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
- Extremes for systemic expected shortfall and marginal expected shortfall in a multivariate continuous-time risk model
- Asymptotic behavior for distortion risk measures in a bidimensional risk model
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