Ruin under interest force and subexponential claims: a simple treatment

By V. Kalashnikov, Dimitrios G. Konstantinides. 2000

77 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d7c92daea101dae4de9f2d11f7cbab0648c42520

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. Qihe Tang
2. Dingcheng Wang
3. Yuebao Wang
4. Hélène Cossette
5. É. Marceau
6. Qingwu Gao
7. G. Tsitsiashvili
8. Yiqing Chen

In Finance

1. Qihe Tang
2. Dingcheng Wang
3. Yuebao Wang
4. Qingwu Gao
5. Yiqing Chen
6. G. Tsitsiashvili
7. Kaiyong Wang
8. Hélène Cossette

In Management Science and Operations Research

1. Qihe Tang
2. Dingcheng Wang
3. Yuebao Wang
4. Qingwu Gao
5. Yiqing Chen
6. G. Tsitsiashvili
7. Hélène Cossette
8. É. Marceau

Citations in the corpus

• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails (2004, methodology): “ISSN 0346-1238 DOI:10.1080/03461230310017531 compound Poisson model) has been extensively investigated by a series of papers such as Sundt & Teugels (1995, 1997), Klüppelberg & Stadtmüller (1998), Asmussen (1998), and Kalashnikov & Konstantinides (2000), among others.”
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails (2002, methodology): “The classical risk model with homogeneous Poisson arrival process, constant premium rate and constant interest force has been investigated by many authors such as Sundt and Teugels (1995, 1997), Asmussen (1998), Klüppelberg and Stadtmüller (1998) and Kalashnikov and Konstantinides (2000).”
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008, background): “Asmussen, S.; Kalashnikov, V.; Konstantinides, D.; Klüppelberg, C.; Tsitsiashvili, G.”
• THE FINITE-TIME RUIN PROBABILITY OF THE COMPOUND POISSON MODEL WITH CONSTANT INTEREST FORCE (2005, methodology): “Lately, also based on the work of Sundt and Teugels (1995), but using a simpler treatment, Kalashnikov and Konstantinides (2000) and Konstantinides et al. (2002) rederived (2.6) under the condition that the integrated tail distribution B I is an element of the class A; that is, B I is…”
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004, background): “…models with a constant interest rate has been deeply investigated in the literature; see Sundt and Teugels (1995), (1997), Klüppelberg and Stadtmüller (1998), Asmussen (1998), Yang (1999), Kalashnikov and Konstantinides (2000), Konstantinides et al. (2002), and Tang (2004), among others.”
• On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011, methodology): “This risk process has been used in ruin theory by many authors such as Taylor (1979), Waters (1983), Delbaen and Haezendonck (1987), Willmot (1989), Sundt and Teugels (1995) and more recently Kalashnikov and Konstantinides (2000), Yang and Zhang (2001) and Tang (2005).”
• 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”
• 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”
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation (2005, result): “Furthermore, [3,4,5] also obtained results similar to (3) for some larger classes of heavytailed distributions.”