Interplay of insurance and financial risks in a stochastic environment
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Cites work
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- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
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- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
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- Economic factors and solvency
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- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Inequalities: theory of majorization and its applications
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Interplay of subexponential and dependent insurance and financial risks
- Iterated random functions and slowly varying tails
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Cited in
(30)- The interaction between the demands for insurance and insurable assets
- Interplay of subexponential and dependent insurance and financial risks
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
- Bivariate regular variation among randomly weighted sums in general insurance
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Asymptotics for ultimate ruin probability in a by-claim risk model
- Active stabilization policy and uninsurable risks
- Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
- Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
- Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- A revisit to tail risk measures in the presence of bivariate regularly varying tailed insurance and financial risks
- Asymptotics for a discounted systemic risk measure in a multi-dimensional risk model with dependent claim sizes and stochastic return
- Asymptotic behavior of finite-time ruin probabilities in a bidimensional compound risk model
- Uniform asymptotic estimate for the finite-time ruin probability in a risk model with stochastic investment returns
- The heavy-tail behavior of the difference of two dependent random variables
- Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks
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- Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
- Asymptotic behavior of systemic risk measures in a bidimensional compound risk model
- Joint ruin probability and risk contagion measure in a quota-share reinsurance risk model: an asymptotic approach
- Asymptotic behavior for distortion risk measures in a bidimensional risk model
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
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