On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
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Cites work
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A two-dimensional ruin problem on the positive quadrant
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- Asymptotic results for ruin probability of a two-dimensional renewal risk model
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Financial Modelling with Jump Processes
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
- Introductory lectures on fluctuations of Lévy processes with applications.
- Lévy Processes and Stochastic Calculus
- On joint ruin probabilities of a two-dimensional risk model with constant interest rate
- On the ruin probabilities of a bidimensional perturbed risk model
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Ruin probabilities of a bidimensional risk model with a constant interest rate
- Ruin probabilities of a bidimensional risk model with investment
- Some results on ruin probabilities in a two-dimensional risk model.
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
Cited in
(11)- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- A two-dimensional ruin problem on the positive quadrant
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- A particular bidimensional time-dependent renewal risk model with constant interest rates
- Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
- The finite-time ruin probability of a risk model with a general counting process and stochastic return
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