Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Regular variation of GARCH processes

Bojan Basrak, Richard A. Davis, Thomas Mikosch · Stochastic Processes and their Applications · 2002 · 382 citations · Full text

Natural Sciences, Mathematics, Probability Theory +13

Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

Qihe Tang · Advances in Applied Probability · 2004 · 152 citations

Business, Economics, Insurance +14

Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Paul Embrechts, Dominik D. Lambrigger, Mario V. Wüthrich · Extremes · 2008 · 138 citations · Full text

Natural Sciences, Risk Management, Financial Economics +11

A Note on Cumulative Sums

Charles Stein · The Annals of Mathematical Statistics · 1946 · 101 citations · Full text

Natural Sciences, Mathematics, Probability Theory +4

Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models

Yang Chen, Le Wang, Yuebao Wang · Journal of Mathematical Analysis and Applications · 2012 · 87 citations

Natural Sciences, Finance, Mathematics +10