Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

By Chris C. Heyde, Dingcheng Wang. Advances in Applied Probability, 2009

52 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a0d5ebe2e8418ac8d0338c7d91a2d268350abb3e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Kam Chuen Yuen
2. Guojing Wang
3. Qihe Tang
4. Dingcheng Wang
5. Yiqing Chen
6. Jostein Paulsen
7. Alexandru V. Asimit
8. Andrei L. Badescu

In Economics and Econometrics

1. Kam Chuen Yuen
2. Guojing Wang
3. Qihe Tang
4. Dingcheng Wang
5. Jostein Paulsen

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Guojing Wang
3. Qihe Tang
4. Yiqing Chen
5. Kai Wang Ng
6. Dingcheng Wang
7. Jostein Paulsen
8. Jinzhu Li

Citations in the corpus

• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “The reader is also referred to Heyde and Wang (2009) for a result for the finite-time ruin probability similar to (3.3) but with a fixed-time horizon and {Nt, t ≥ 0} being a Poisson process.”