Risk theory. A heavy tail approach

DOI10.1142/10523zbMATH Open1414.91001OpenAlexW4234482062MaRDI QIDQ5349337FDOQ5349337

Authors: Dimitrios G. Konstantinides 

Publication date: 24 August 2017

Full work available at URL: https://doi.org/10.1142/10523

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zbMATH Keywords

ruin probabilitysubexponentialityrisk theorySparre-Andersen risk modelheavy tail distributionsrenewal modelsCramér conditioncoumpound Poisson distribution

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Renewal theory (60K05)

Cited In (12)

• Gerber-Shiu risk theory
• Risk theory of the second and third kind
• Generalized moments of sums with heavy-tailed random summands
• New results for the Marshall-Olkin family of distributions
• The arctan family of distributions: New results with applications
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Beyond the lognormal distribution with properties and applications
• NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE
• On the estimation of the variability in the distribution tail
• Nonparametric asymptotic confidence intervals for extreme quantiles
• Risk theory

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