THE FINITE-TIME RUIN PROBABILITY OF THE COMPOUND POISSON MODEL WITH CONSTANT INTEREST FORCE

By Qihe Tang. 2005

98 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Demography, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d90d6c6591f76ee2ac2c7f61fbdbf874f109a47b

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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).”
Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008, background): “9) Hence, an interesting question arises as whether the result similar to Tang[14] holds for the finite-time ruin probability for the general risk model introduced in Section 1.”
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”
The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims (2007, background): “Tang [ 16 ] obtained the uniformity of (1.9), see Theorem 3.2 of his paper.”
Extremes on the discounted aggregate claims in a time dependent risk model (2010, methodology): “Assuming a constant force of interest, Tang (2005b, 2007) and Wang (2008) derive asymptotic results for both the classical compound Poisson and the renewal risk models.”
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails (2008, result): “In the context of ruin theory, Tang (2005) and Wang (2007) obtained some similar asymptotic results as (1.5) for the finite-time ruin probability but for a fixed time horizon t ∈ Λ.”
Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model (2007, methodology): “As mentioned in the proof of Lemma 4.5 of Tang (2005), using a result of Nagaev (1979) we may prove that for an arbitrarily fixed number v > β, there is some cv > 0 such that for all n = 1, 2, . . . and all x ≥ 0, Pr ( n∑ k=1 Xk > x ) ≤ cvnvF (x).”