Multivariate regularly varying insurance and financial risks in multidimensional risk models

Cites Work

Unnamed Item
Unnamed Item
Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Tail risk of multivariate regular variation
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Ruin models with investment income
Integrated insurance risk models with exponential Lévy investment
Ruin problems with assets and liabilities of diffusion type
Interplay of subexponential and dependent insurance and financial risks
A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
Regular variation of GARCH processes.
Tail distortion risk measure for portfolio with multivariate regularly variation
Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
Bivariate regular variation among randomly weighted sums in general insurance
Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Tail asymptotics for exponential functionals of Lévy processes
Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
Dependence and the asymptotic behavior of large claims reinsurance
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Risk Measures and Multivariate Extensions of Breiman's Theorem
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Extremes on the discounted aggregate claims in a time dependent risk model
Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models
Asymptotic Analysis of Multivariate Tail Conditional Expectations
A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization
Risk Theory
Interplay of insurance and financial risks in a stochastic environment
Heavy-Tail Phenomena

This page was built for publication: Multivariate regularly varying insurance and financial risks in multidimensional risk models