Risk theory. A heavy tail approach

DOI10.1142/10523MaRDI QIDQ5349337zbMATH OpenOpenAlexFDO

Authors Dimitrios G. Konstantinides

Publication date 24 August 2017

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

zbMATH Keywords

coumpound Poisson distributionCramér conditionheavy tail distributionsrenewal modelsrisk theoryruin probabilitySparre-Andersen risk modelsubexponentiality

Mathematics Subject Classification ID

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

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Cited in

(20)

• On the estimation of the variability in the distribution tail
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• Gerber-Shiu risk theory
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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Risk theory of the second and third kind
• NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE
• Generalized moments of sums with heavy-tailed random summands
• The arctan family of distributions: New results with applications
• Nonparametric asymptotic confidence intervals for extreme quantiles
• Beyond the lognormal distribution with properties and applications
• New results for the Marshall-Olkin family of distributions
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Risk theory
• Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
• Regularity of a randomly stopped sum determines regularity of the stopping moment
• On the distribution-tail of the product of gamma random variables
• Infinite-time ruin probability of a multivariate renewal risk model with Brownian perturbations
• Random vectors in the presence of a single big jump
• Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims

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