Exponential Behavior in the Presence of Dependence in Risk Theory
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- An introduction to copulas. Properties and applications
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- Some asymptotic results for transient random walks with applications to insurance risk
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- The Poisson integral representation of functions which are positive and harmonic in a half-plane
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Cited in
(94)- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- Review of statistical actuarial risk modelling
- Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
- Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
- Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
- The impact of dependencies between climate risks on the asset and liability side of non-life insurers
- Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
- The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
- Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
- On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
- Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
- On an insurance ruin model with a causal dependence structure and perturbation
- A conversation with Jef Teugels
- Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information
- The construction of a quadratic predictor of the discounted renewal claims with dependence
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Asymptotics for a time-dependent by-claim model with dependent subexponential claims
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
- Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
- A survey of some recent results on risk theory
- Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
- Analysis of ruin measures for the classical compound Poisson risk model with dependence
- A perturbed risk model with dependence between premium rates and claim sizes
- On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
- Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
- Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
- A note on deficit analysis in dependency models involving Coxian claim amounts
- Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
- A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
- Queues and Risk Processes with Dependencies
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- A Lundberg-type inequality for an inhomogeneous renewal risk model
- The order-statistic claim process with dependent claim frequencies and severities
- Ruin probabilities in models with a Markov chain dependence structure
- Risk processes with dependence and premium adjusted to solvency targets
- Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- On a risk model with dependence between interclaim arrivals and claim sizes
- Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
- On a ruin model with both interclaim times and premiums depending on claim sizes
- Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
- The risk model with stochastic premiums, dependence and a threshold dividend strategy
- Precise large deviations for aggregate claims
- On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
- Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
- Extremes on the discounted aggregate claims in a time dependent risk model
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- On the probability of ruin in the compound Poisson risk model with potentially delayed claims
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Some specific density functions of aggregated discounted claims with dependent risks
- Ruin under stochastic dependence between premium and claim arrivals
- On the evaluation of finite-time ruin probabilities in a dependent risk model
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
- Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
- A copula model for marked point processes
- Dependence and the asymptotic behavior of large claims reinsurance
- Tail asymptotics for dependent subexponential differences
- The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
- Compound trend renewal process with discounted claims: a unified approach
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Strategies for dividend distribution: a review
- A generalized penalty function for a class of discrete renewal processes
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- On the analysis of a general class of dependent risk processes
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- Moments of discounted aggregate claims with dependence based on Spearman copula
- Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
- Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure
- Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
- Asymptotics in a time-dependent renewal risk model with stochastic return
- On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
- On the discounted penalty function in a Markov-dependent risk model
- Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
- Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
- A note on compound renewal risk models with dependence
- Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
- Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
- On orderings and bounds in a generalized Sparre Andersen risk model
- Optimal investment of a time-dependent renewal risk model with stochastic return
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
- Risk- and value-based management for non-life insurers under solvency constraints
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
- A note on discounted compound renewal sums under dependency
- On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
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