The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

Subexponentiality of the product of independent random variables

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

Natural Sciences, Property Law, Probability Theory +5

Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

Kaiyong Wang, Yuebao Wang, Qingwu Gao · Methodology And Computing In Applied Probability · 2011 · 232 citations

Business, Economics, Finance +12

Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities

Søren Asmussen · The Annals of Applied Probability · 1998 · 190 citations · Full text

Engineering, Mathematics, Dynamical Systems +16

Ruin probabilities in the presence of heavy-tails and interest rates

Claudia Klüppelberg, Ulrich Stadtmüller · Scandinavian Actuarial Journal · 1998 · 120 citations

Business, Economics, Finance +8

Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails

Dimitrios G. Konstantinides, Qihe Tang · Insurance Mathematics and Economics · 2002 · 110 citations

Business, Finance, Mathematics +15