Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
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Publication:6164841
Recommendations
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
- Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and 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
- scientific article; zbMATH DE number 3976122 (Why is no real title available?)
- scientific article; zbMATH DE number 1484400 (Why is no real title available?)
- A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
- A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
- ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
- Aggregation of log-linear risks
- Aggregation of randomly weighted large risks
- Approximation of ruin probabilities via Erlangized scale mixtures
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
- Asymptotics for a discrete-time risk model with gamma-like insurance risks
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Convolution equivalence and infinite divisibility
- Extremes and products of multivariate AC-product risks
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Focussed selection of the claim severity distribution
- From light tails to heavy tails through multiplier
- Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Interplay of insurance and financial risks in a stochastic environment
- Interplay of subexponential and dependent insurance and financial risks
- Multivariate subexponential distributions and their applications
- On convolution equivalence with applications
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
- On the distribution of a sum of Sarmanov distributed random variables
- On the ruin probabilities in a general economic environment
- On the ruin probabilities of a bidimensional perturbed risk model
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
- Optimal dividend and investing control of an insurance company with higher solvency constraints
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Properties and applications of the sarmanov family of bivariate distributions
- Ruin models with investment income
- Ruin probabilities
- Ruin problems with assets and liabilities of diffusion type
- Ruin with insurance and financial risks following the least risky FGM dependence structure
- Spatial modelling of claim frequency and claim size in non-life insurance
- Tail asymptotic of Weibull-type risks
- Tail behavior of the product of two dependent random variables with applications to risk theory
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
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