On the ruin probabilities in a general economic environment
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Publication:1613645
DOI10.1016/S0304-4149(99)00030-7zbMath0997.60041MaRDI QIDQ1613645
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items (68)
Finite and infinite time ruin probabilities in a stochastic economic environment. ⋮ In the insurance business risky investments are dangerous: the case of negative risk sums ⋮ Random recurrence equations and ruin in a Markov-dependent stochastic economic environment ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Pointwise estimates for first passage times of perpetuity sequences ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process ⋮ 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 ⋮ Interplay of subexponential and dependent insurance and financial risks ⋮ Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ On the joint tail behavior of randomly weighted sums of heavy-tailed random variables ⋮ Mathematical model of banking operation ⋮ Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ On the ruin probability in a dependent discrete time risk model with insurance and financial risks ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Finite time ruin probability with heavy-tailed insurance and financial risks ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Asymptotic ruin probabilities for risk processes with dependent increments. ⋮ The tail probability of the product of dependent random variables from max-domains of attraction ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Power estimates for ruin probabilities ⋮ Ruin probabilities under general investments and heavy-tailed claims ⋮ The impact on ruin probabilities of the association structure among financial risks ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ 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 ⋮ Estimates for the finite-time ruin probability with insurance and financial risks ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization ⋮ Ruin probabilities for discrete time risk models with stochastic rates of interest ⋮ Ruin probabilities with a Markov chain interest model ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ Power tailed ruin probabilities in the presence of risky investments. ⋮ The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance ⋮ The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails ⋮ Large deviations for generalized compound Poisson risk models and its bankruptcy moments ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process ⋮ The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Approximation of the tail probability of randomly weighted sums and applications ⋮ Ruin probabilities in a discrete time risk model with dependent risks of heavy tail ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Weak limits of random coefficient autoregressive processes and their application in ruin theory ⋮ Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation ⋮ The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks ⋮ Uniform estimate for maximum of randomly weighted sums with applications to ruin theory ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes ⋮ Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. ⋮ Ruin probabilities for a~risk process with stochastic return on investments. ⋮ The finite time ruin probability with the same heavy-tailed insurance and financial risks ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure ⋮ Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks
Cites Work
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- Implicit renewal theory and tails of solutions of random equations
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- Ruin theory with compounding assets -- a survey
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- Risk theory in a stochastic economic environment
- Entropy, a useful concept in risk theory
- On the probability of ruin of risk processes approximated by a diffusion process
- Rough descriptions of ruin for a general class of surplus processes
- Rough limit results for level-crossing probabilities
- Ruin theory with stochastic return on investments
- Stochastic differential equations for ruin probabilities
- Phase-type distributions and risk processes with state-dependent premiums
- Convex Analysis
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