The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
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Cites work
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- Estimation of ruin probabilities by means of hazard rates
- Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
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- Properties and applications of the sarmanov family of bivariate distributions
- Randomly weighted sums of subexponential random variables with application to ruin theory
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- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
- Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
Cited in
(4)- Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
- Ruin probability for finite negative binomial mixture claims via recurrence sequences
- On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
- Ruin probabilities as recurrence sequences in a discrete-time risk process
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