Asymptotic ruin probabilities for risk processes with dependent increments

By Alfred Müller, Georg Ch. Pflug. 2001

48 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/b1da4528a78e79f3f544d76913764f4661675448

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. Hélène Cossette
2. É. Marceau
3. David Landriault
4. Onno J. Boxma
5. Hansjörg Albrecher *
6. Mathieu Boudreault
7. Yiqing Chen
8. Ronnie Loeffen

In Economics and Econometrics

1. Hélène Cossette
2. É. Marceau
3. David Landriault
4. Hansjörg Albrecher *
5. Onno J. Boxma
6. Xiaowen Zhou

In Management Science and Operations Research

1. Hélène Cossette
2. É. Marceau
3. David Landriault
4. Hansjörg Albrecher *
5. Onno J. Boxma
6. Mathieu Boudreault
7. Yiqing Chen
8. Xiaowen Zhou

Citations in the corpus

• A ruin model with dependence between claim sizes and claim intervals (2004, methodology): “In the case of light-tailed claim sizes, Nyrhinen [12, 13] derived Lundberg-type limiting results using large deviations techniques and Müller and Pflug [11] introduced dependence orderings to relate the limiting ruin probabilities.”
• On a risk model with dependence between interclaim arrivals and claim sizes (2006, background): “Cossette and Marceau ( 2000 ), Muller and Pflug ( 2001 ), Denuit et al.”