Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
DOI10.1007/S11009-011-9274-3zbMATH Open1281.60048OpenAlexW2091159941MaRDI QIDQ370897FDOQ370897
Authors: Chengguo Weng, Yi Zhang, Ken Seng Tan 
Publication date: 20 September 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9274-3
Recommendations
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Asymptotic analysis of Poisson shot noise processes, and applications
- Explosive Poisson shot noise processes with applications to risk reserves
- scientific article; zbMATH DE number 1301890
asymptoticstail probabilityregular variationruin probabilityPoisson shot noisestop-loss insuranceupper tail dependence
Cites Work
- Title not available (Why is that?)
- An introduction to copulas.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Explosive Poisson shot noise processes with applications to risk reserves
- Large deviations of heavy-tailed sums with applications in insurance
- Simple approximations of ruin probabilities
- Aspects of risk theory
- Subexponentiality of the product of independent random variables
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Regular variation in the mean and stable limits for Poisson shot noise
- Title not available (Why is that?)
- Delay in claim settlement and ruin probability approximations
- Approximation of the tail probability of randomly weighted sums and applications
- Simulating the ruin probability of risk processes with delay in claim settlement
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- Extremes for shot noise processes with heavy tailed amplitudes
- An insensitivity property of Lundberg's estimate for delayed claims
- Limiting properties of Poisson shot noise processes
- Title not available (Why is that?)
- On fixed points of Poisson shot noise transforms
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
- Lundberg parameters for non standard risk processes
- The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
- Sample path large deviations principles for Poisson shot noise processes, and applications
- On convolution equivalence with applications
Cited In (8)
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation
- Title not available (Why is that?)
- Explosive Poisson shot noise processes with applications to risk reserves
- Regular variation of a random length sequence of random variables and application to risk assessment
- A bivariate shot noise self-exciting process for insurance
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Asymptotic analysis of Poisson shot noise processes, and applications
- Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
This page was built for publication: Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q370897)
