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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- 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
- First passage times of general sequences of random vectors: A large deviations approach
- Large claims approximations for risk processes in a Markovian environment
- Large deviations for generalized compound Poisson risk models and its bankruptcy moments
- Large deviations results for subexponential tails, with applications to insurance risk
- Large deviations view points for heavy-tailed random walks
- Logarithmic asymptotics for the supremum of a stochastic process
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- On the ruin probabilities in a general economic environment
- On the typical level crossing time and path
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Probability Inequalities for Sums of Independent Random Variables
- Rough descriptions of ruin for a general class of surplus processes
- Ruin probabilities in the presence of heavy-tails and interest rates
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Tail probabilities for non-standard risk and queueing processes with subexponential jumps
- The supremum of a negative drift random walk with dependent heavy-tailed steps.
Cited in
(6)- An application of risk theory to mortgage lending
- On large deviations of multivariate heavy-tailed random walks
- Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory
- On the ruin probabilities in a general economic environment
- Estimating tails of independently stopped random walks using concave approximations of hazard functions
- The asymptotic ruin problem when the healthy and sick periods form an alternating renewal process
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