Interplay of insurance and financial risks in a stochastic environment
From MaRDI portal
(Redirected from Publication:5376478)
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
Cites work
- A limit distribution of credit portfolio losses with low default probabilities
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- 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
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Economic factors and solvency
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- 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
- Large claims approximations for risk processes in a Markovian environment
- Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On a Theorem of Breiman and a Class of Random Difference Equations
- On optimal portfolio diversification with respect to extreme risks
- On real growth and run-off companies in insurance ruin theory
- On sums of conditionally independent subexponential random variables
- On the observation closest to the origin
- On the probability of ruin in a Markov-modulated risk model
- On the ruin probabilities in a general economic environment
- Power tailed ruin probabilities in the presence of risky investments.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Quantitative risk management. Concepts, techniques and tools
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Regular variation in the tail behaviour of solutions of random difference equations
- Risk measures and multivariate extensions of Breiman's theorem
- Risk theory in a Markovian environment
- Ruin models with investment income
- Ruin probabilities
- Ruin problems with assets and liabilities of diffusion type
- Ruin Theory in a Hidden Markov-Modulated Risk Model
- Stochastic Models with Power-Law Tails
- Subexponentiality of the product of independent random variables
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
Cited in
(27)- 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
- Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims
- Asymptotic behavior of systemic risk measures in a bidimensional compound risk model
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
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)
