Ruin probabilities in the presence of heavy-tails and interest rates

DOI10.1080/03461238.1998.10413991zbMATH Open1022.60083OpenAlexW2035824147MaRDI QIDQ4235013FDOQ4235013

Authors: Claudia Klüppelberg, Ulrich Stadtmüller 

Publication date: 25 March 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1998.10413991

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zbMATH Keywords

heavy tailsregular variationruin probabilityinterest rate modelAbel-Tauber theoremsmodified Laplace transforms

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

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• Limit theorems for the present value of the surplus of an insurance portfolio

Cited In (69)

• Hidden equations of risk critical thresholds
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• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
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• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
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• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• Ruin probabilities and penalty functions with stochastic rates of interest
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• Uniform asymptotics for discounted aggregate claims in dependent risk models
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
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• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Optimal investment for insurers when the stock price follows an exponential Lévy process
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• On ruin probability and aggregate claim representations for Pareto claim size distributions
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• Ruin probability with constant interest force and regular variation
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

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