Lundberg parameters for non standard risk processes
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Cites work
- An insensitivity property of Lundberg's estimate for delayed claims
- Asymptotic results for perturbed risk processes with delayed claims
- Comparison methods for stochastic models and risks
- Continuous-time Markov additive processes: Composition of large deviations principles and comparison between exponential rates of convergence
- Delay in claim settlement and ruin probability approximations
- Explosive Poisson shot noise processes with applications to risk reserves
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Ordering ruin probabilities for dependent claim streams.
- Simulating level-crossing probabilities by importance sampling
- Supermodular Order and Lundberg Exponents
- The safest dependence structure among risks.
Cited in
(22)- Two-sided Lundberg inequalities in a Markovian environment
- Asymptotic ruin probabilities for risk processes with dependent increments.
- On the functional and local limit theorems for Markov modulated compound Poisson processes
- Functional limit theorems for a new class of non-stationary shot noise processes
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- Asymptotic analysis of Poisson shot noise processes, and applications
- Large deviations for the time-integrated negative parts of some processes
- Ruin problems under IBNR dynamics
- On a risk model with dependence between interclaim arrivals and claim sizes
- Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- On multivariate modifications of Cramer-Lundberg risk model with constant intensities
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
- Large deviations for risk models in which each main claim induces a delayed claim
- Large deviations for risk processes with reinsurance
- Sample path moderate deviations for shot noise processes in the high intensity regime
- Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
- Scaling limits for interactive Hawkes shot noise processes
- Gaussian approximation and moderate deviations of Poisson shot noises with application to compound generalized Hawkes processes
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
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