Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
By Dingcheng Wang. 2008
52 citations recorded by the source corpus.
Subfields: Demography, Management Science and Operations Research, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/49199f232d89a086d729e545ef08b0d611536a80
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Alexandru V. Asimit
- Andrei L. Badescu
- Yuebao Wang
- Kaiyong Wang
- Qingwu Gao
- Jinzhu Li
- Xuemiao Hao
- Rong Wu
In Management Science and Operations Research
- Alexandru V. Asimit
- Jinzhu Li
- Yuebao Wang
- Andrei L. Badescu
- Kaiyong Wang
- Qingwu Gao
- Rong Wu
- Xuemiao Hao
In Mathematical Physics
- Yuebao Wang
- Xuemiao Hao
- Qingwu Gao
- Kaiyong Wang
- Jinzhu Li
- Rong Wu
- Alexandru V. Asimit
- Andrei L. Badescu
Citations in the corpus
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010, background): “The reader is referred to Asmussen (1998), Klüppelberg and Stadtmüller (1998), Kalashnikov and Konstantinides (2000), Konstantinides et al. (2002), Tang (2005), and Wang (2008).”
- Extremes on the discounted aggregate claims in a time dependent risk model (2010, background): “This work is extended within the class of renewal risk models in Tang (2005a, 2007) and Wang (2008).”
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails (2008, background): “Moreover, the class S covers the class ERV of distributions with extended-regularly-varying tails.”
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims (2009, unknown): “In this paper we only consider the case in which θ ∈ (0, 1) because it is impossible for insurers to invest all the capital into risky assets and the pure bond strategy has been discussed in previous papers (see, e.g. Wang (2008)).”
- Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2013, background): “For the risk model introduced in Section 1.1, when the claim sizes, Xn, n ≥ 1 ,a re independent and identically distributed (i.i.d.) and the inter-arrival times, Yn, n ≥ 1, are also i.i.d., some related works on ruin probabilities with a constant interest rate can be found in Kluppelberg and Stadtim”