Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
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Cites work
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Bivariate regular variation among randomly weighted sums in general insurance
- Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
- Functional large deviations for multivariate regularly varying random walks
- Heavy-Tail Phenomena
- Hitting probabilities and large deviations
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Multirisks model and finite-time ruin probabilities
- Multivariate risk models under heavy-tailed risks
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- On regular variation for infinitely divisible random vectors and additive processes
- Social optimal mean field control problem for population growth model
- The absolute ruin insurance risk model with a threshold dividend strategy
- Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
- Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
- Valuing equity-linked death benefits in general exponential Lévy models
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