Ruin probabilities in the presence of heavy-tails and interest rates
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Cites work
- Classical risk theory in an economic environment
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Estimation of ruin probabilities by means of hazard rates
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Limit theorems for the present value of the surplus of an insurance portfolio
- Martingales and insurance risk
- Ruin estimates under interest force
- Ruin estimation for a general insurance risk model
- Subexponential distributions and integrated tails
- The total claims distribution under inflationary conditions
- Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
Cited in
(71)- The limit behavior of a risk model based on entrance processes
- Ruin estimates for large claims
- Comparison of ruin probability estimates in the presence of heavy tails
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Ruin under interest force and subexponential claims: a simple treatment.
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Distributions for the risk process with a stochastic return on investments.
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
- Ruin theory with risk proportional to the free reserve and securitization
- On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
- Ruin probability in a semi-Markov risk model with constant interest force and heavy-tailed claims
- Precise large deviations for the aggregate claims in a dependent compound renewal risk model
- Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
- Tail behavior of supremum of a random walk when Cramér's condition fails
- Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
- A note on discounted compound renewal sums under dependency
- On the distribution of surplus immediately after ruin under interest force and subexponential claims
- Ruin probabilities and penalty functions with stochastic rates of interest
- 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 discounted aggregate claims in dependent risk models
- Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
- Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
- Estimating ruin probabilities in the Cramér-Lundberg model with heavy-tailed claims
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- On occupation times for a risk process with reserve-dependent premium
- The finite-time ruin probability of the compound Poisson model with constant interest force
- scientific article; zbMATH DE number 5008026 (Why is no real title available?)
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
- Ruin probability with constant interest force and regular variation
- Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
- Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
- A note on a dependent risk model with constant interest rate
- Asymptotic results for renewal risk models with risky investments
- The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
- Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
- Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
- The finite time ruin probability of a new risk model based on entrance process
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
- Asymptotics of discounted aggregate claims for renewal risk model with risky investment
- Power estimates for ruin probabilities
- Hidden equations of risk critical thresholds
- Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
- The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
- POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
- On the ruin probabilities for a general perturbed renewal risk process
- Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Second-order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
- Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
- Uniform asymptotics for a risk model with constant force of interest and a random number of delayed claims
- Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
- Ruin probability in a one-sided linear model with constant interest rate
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