Concepedia

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Ke-Ang Fu, Cheuk Yin Andrew Ng

Insurance Mathematics and Economics · 2014 · 14 citations · 17 references

DOI

Concepts

References

17

Subexponentiality of the product of independent random variables

Daren B. H. Cline, Gennady Samorodnitsky · Stochastic Processes and their Applications · 1994 · 379 citations

, , +5

Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks

Qihe Tang · Stochastic Processes and their Applications · 2003 · 346 citations

, , +16

Ruin theory with stochastic return on investments

Jostein Paulsen, Håkon K. Gjessing · Advances in Applied Probability · 1997 · 198 citations

, , +14

Exponential Behavior in the Presence of Dependence in Risk Theory

Hansjörg Albrecher, J. L. Teugels · Journal of Applied Probability · 2006 · 172 citations · Full text

, , +17

Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

Jinzhu Li, Qihe Tang, Rong Wu · Advances in Applied Probability · 2010 · 147 citations · Full text

, , +13