Ruin Probabilities: Second Edition

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Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, background): “4d of Asmussen and Albrecher (2010) and Chapter 6 of Kyprianou (2006).”
Randomly weighted sums of subexponential random variables with application to capital allocation (2014, methodology): “Our study will proceed in a general setting in which the random weights θ1, . . . , θn are arbitrarily dependent and not necessarily bounded.”
On the supremum of γ-reflected processes with fractional Brownian motion as input (2013, background): “Moreover, a strong merit of (3) is that its proof for the case H > 1/2 and T = ∞ is closely related with the exact tail asymptotics of the supremum of certain non-homogeneous Gaussian random fields, a result which has not been known in the literature so far.”