Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
By Qihe Tang. 2005
81 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/125443bb692ed3b766724f0f64150ecaa31079d1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Dingcheng Wang
- Alexandru V. Asimit
- Andrei L. Badescu
- Qihe Tang
- Chengguo Weng
- Yi Zhang
- Xinmei Shen
- Yiqing Chen
In Finance
- Dingcheng Wang
- Alexandru V. Asimit
- Qihe Tang
- Andrei L. Badescu
- Chengguo Weng
- Yi Zhang
- Xinmei Shen
- Yiqing Chen
In Management Science and Operations Research
- Qihe Tang
- Dingcheng Wang
- Alexandru V. Asimit
- Andrei L. Badescu
- Chengguo Weng
- Yi Zhang
- Xinmei Shen
- Yiqing Chen
Citations in the corpus
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008, background): “Stochastic Models, 24:41–57, 2008 Copyright © Taylor & Francis Group, LLC ISSN: 1532-6349 print/1532-4214 online DOI: 10.1080/15326340701826898 FINITE-TIME RUIN PROBABILITY WITH HEAVY-TAILED CLAIMS AND CONSTANT INTEREST RATE D. Wang Center of Financial Mathematics, MSI, Australian National Universit”
- Extremes on the discounted aggregate claims in a time dependent risk model (2010, methodology): “Assuming a constant force of interest, Tang (2005b, 2007) and Wang (2008) derive asymptotic results for both the classical compound Poisson and the renewal risk models.”
- Approximation of the tail probability of randomly weighted sums and applications (2009, result): “Tang and Tsitsiashvili [25] established the asymptotic formulation regarding the maxima Mn as in (1.2) for the case when {X i , i ≥ 1} belong to the intersection of the longtailed class and dominant variation class, and {Θi , i ≥ 1} are structured through the independent sequence {Yi , i ≥ 1} of r.v”
- Ruin Models with Investment Income (2008, unknown): “Culminating through a series of papers [3, 33, 35, 37, 66, 67, 68], it was proved in [32] that when σR = 0 and F ∈ S, ψ(t, y) ∼ λ r ∫ ye”
- THE FINITE-TIME RUIN PROBABILITY OF THE COMPOUND POISSON MODEL WITH CONSTANT INTEREST FORCE (2005, background): “Recently, Tang (2004) extended the work of Konstantinides et al. (2002) to the discrete-time model, while Tang (2005) extended the work of Klüppelberg and Stadtmüller (1998) to the ordinary renewal model.”