Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
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- Tails of random sums of a heavy-tailed number of light-tailed terms
- The impact on ruin probabilities of the association structure among financial risks
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Cited in
(only showing first 100 items - show all)- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Risk- and value-based management for non-life insurers under solvency constraints
- Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
- Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
- Tails of higher-order moments with dominatedly varying summands
- A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
- Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- An asymptotic study of systemic expected shortfall and marginal expected shortfall
- Interplay of financial and insurance risks in dependent discrete-time risk models
- A note on pair-dependent linear statistics with a slowly increasing variance
- Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
- Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
- Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
- Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
- Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
- Extremes and products of multivariate AC-product risks
- Max-sum equivalence of conditionally dependent random variables
- Approximations of the tail probability of the product of dependent extremal random variables and applications
- Closure property and maximum of randomly weighted sums with heavy-tailed increments
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
- Asymptotics for the partial sum and its maximum of dependent random variables
- On pairwise quasi-asymptotically independent random variables and their applications
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- Asymptotic results on marginal expected shortfalls for dependent risks
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Asymptotics for randomly weighted and stopped dependent sums
- Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
- Weak max-sum equivalence for dependent heavy-tailed random variables
- Uniform approximation of the tail probability of weighted sums of subexponential random variables
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
- Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Minimum of dependent random variables with convolution-equivalent distributions
- Regularly distributed randomly stopped sum, minimum, and maximum
- Randomly stopped sums with consistently varying distributions
- Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory
- Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
- Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
- Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
- Randomly weighted sums of dependent random variables with dominated variation
- Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
- On the ruin probability in a dependent discrete time risk model with insurance and financial risks
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Markov dependence in renewal equations and random sums with heavy tails
- Uniform asymptotics for the tail probability of weighted sums with heavy tails
- Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
- Ruin probabilities with insurance and financial risks having an FGM dependence structure
- Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
- Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- A note on the asymptotics for the randomly stopped weighted sums
- Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
- Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
- Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
- Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force
- Closure property of consistently varying random variables based on precise large deviation principles
- Asymptotics for systemic risk with dependent heavy-tailed losses
- Randomly stopped maximum and maximum of sums with consistently varying distributions
- Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
- Asymptotics for a discrete-time risk model with the emphasis on financial risk
- Interplay of insurance and financial risks in a stochastic environment
- Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
- Generalized moments of sums with heavy-tailed random summands
- Heavy-Tailed Distribution for Combining Dependent P-Values With Asymptotic Robustness
- Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
- Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
- Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
- Asymptotic results on tail moment and tail central moment for dependent risks
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- Asymptotic capital allocation based on the higher moment risk measure
- On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
- Asymptotics for a discounted systemic risk measure in a multi-dimensional risk model with dependent claim sizes and stochastic return
- Asymptotics of systemic risk in a renewal model with multiple business lines and heterogeneous claims
- Asymptotic behavior of finite-time ruin probabilities in a bidimensional compound risk model
- Aggregating dependent signals with heavy-tailed combination tests
- Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
- Positively decreasing and related distributions under dependence
- The principle of a single big jump from the perspective of tail moment risk measure
- Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
- Regularity of a randomly stopped sum determines regularity of the stopping moment
- A Breiman's theorem for a conditional dependent random vector and its applications to risk theory
- Asymptotics for the sum-ruin probability of a bi-dimensional compound risk model with dependent numbers of claims
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