The impact on ruin probabilities of the association structure among financial risks
From MaRDI portal
Publication:2467388
DOI10.1016/J.SPL.2007.03.042zbMATH Open1210.91061OpenAlexW2098343036MaRDI QIDQ2467388FDOQ2467388
Publication date: 21 January 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.042
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Introduction to Time Series and Forecasting
- Ruin problems with assets and liabilities of diffusion type
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On the ruin probabilities in a general economic environment
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Moving averages with random coefficients and random coefficient autoregressive models
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- Some properties and generalizations of multivariate Eyraud-Gumbel- Morgenstern distributions
Cited In (19)
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier
- Sufficient and necessary conditions for the strong consistency of LS estimators in simple linear EV regression models
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
- Analysis of ruin measures for the classical compound Poisson risk model with dependence
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks
- Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications
- The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
- Ruin probabilities with insurance and financial risks having an FGM dependence structure
- The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples
- The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables
- The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
- On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
- Uniformly complete consistency of frequency polygon estimation for dependent samples and an application
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Approximations of the tail probability of the product of dependent extremal random variables and applications
Uses Software
This page was built for publication: The impact on ruin probabilities of the association structure among financial risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2467388)
