Interplay of insurance and financial risks in a stochastic environment
From MaRDI portal
Publication:5376478
DOI10.1080/03461238.2019.1573753zbMATH Open1411.91316OpenAlexW2915762819WikidataQ128312378 ScholiaQ128312378MaRDI QIDQ5376478FDOQ5376478
Publication date: 10 May 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1573753
Recommendations
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Interplay of subexponential and dependent insurance and financial risks
stochastic orderingasymptotic estimatesruin probabilityuniformitystochastic environmentbivariate regular variation
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
- Inequalities: theory of majorization and its applications
- Title not available (Why is that?)
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Quantitative risk management. Concepts, techniques and tools
- Title not available (Why is that?)
- Ruin probabilities
- Title not available (Why is that?)
- Heavy-Tail Phenomena
- Ruin problems with assets and liabilities of diffusion type
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Risk theory in a Markovian environment
- On a Theorem of Breiman and a Class of Random Difference Equations
- Subexponentiality of the product of independent random variables
- On the ruin probabilities in a general economic environment
- Power tailed ruin probabilities in the presence of risky investments.
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Ruin models with investment income
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Risk measures and multivariate extensions of Breiman's theorem
- Regular variation in the tail behaviour of solutions of random difference equations
- On the probability of ruin in a Markov-modulated risk model
- Large claims approximations for risk processes in a Markovian environment
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- On optimal portfolio diversification with respect to extreme risks
- On sums of conditionally independent subexponential random variables
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Stochastic Models with Power-Law Tails
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Iterated random functions and slowly varying tails
- Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- On the observation closest to the origin
- A limit distribution of credit portfolio losses with low default probabilities
- Ruin Theory in a Hidden Markov-Modulated Risk Model
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Interplay of subexponential and dependent insurance and financial risks
- On real growth and run-off companies in insurance ruin theory
- Economic factors and solvency
Cited In (19)
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Bivariate regular variation among randomly weighted sums in general insurance
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Asymptotics for ultimate ruin probability in a by-claim risk model
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
- Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Interplay of subexponential and dependent insurance and financial risks
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
- Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
- Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
- Active stabilization policy and uninsurable risks
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses
- The interaction between the demands for insurance and insurable assets
- Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Uses Software
This page was built for publication: Interplay of insurance and financial risks in a stochastic environment
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5376478)
