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Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443
Persistent link: https://www.econbiz.de/10011312279
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Ruin probabilities with dependence on the number of claims within a fixed time window
Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims …
Persistent link: https://www.econbiz.de/10011507555
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Finite time ruin probability of the compound renewal model with constant interest rate and weakly negatively dependent claims with heavy tails
Thampi, K. K. - In: International game theory review 17 (2015) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10010526708
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Finite time ruin problems for the Markov-modulated risk model
Li, Jingchao; Dickson, David C. M.; Li, Shuanming - 2014
Persistent link: https://www.econbiz.de/10011342005
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Uniform estimate for randomly weighted sums of dependent subexponential random variables
Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318
Persistent link: https://www.econbiz.de/10011407748
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Probabilistic approach to measuring early-warning signals of systemic contagion risk
Hui, Cho H.; Lo, Chi-Fai; Zheng, Xiao-Fen; Fong, Tom - In: International journal of financial engineering 5 (2018) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011922985
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Risk analysis for large pools of loans
Sirignano, Justin; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 107-121
Persistent link: https://www.econbiz.de/10011991377
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Randomly weighted sums of dependent subexponential random variables with applications to risk theory
Cheng, Fengyang; Cheng, Dongya - In: Scandinavian actuarial journal (2018) 3, pp. 191-202
Persistent link: https://www.econbiz.de/10011881079
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Precise local large deviations for heavy-tailed random sums with applications to risk models
Zhang, Qiuying; Cheng, Fengyang - In: Scandinavian actuarial journal (2018) 5, pp. 450-463
Persistent link: https://www.econbiz.de/10011881464
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A tale of two tails : on the coexistence of overweighting and underweighting of rare extreme events
Epper, Thomas; Fehr-Duda, Helga - 2017
Persistent link: https://www.econbiz.de/10011720640