The finite time ruin probability with the same heavy-tailed insurance and financial risks
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Publication:2577656
DOI10.1007/s10255-005-0226-yzbMath1077.62099MaRDI QIDQ2577656
Publication date: 5 January 2006
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-005-0226-y
62P05: Applications of statistics to actuarial sciences and financial mathematics
62E15: Exact distribution theory in statistics
62G32: Statistics of extreme values; tail inference
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Cites Work
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- On the ruin probabilities in a general economic environment
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications