Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails

By Dimitrios G. Konstantinides, Qihe Tang, G. Tsitsiashvili. 2002

102 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e35d2af9909671548996b15e0bd858439e650784

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. Jostein Paulsen
4. Yiqing Chen
5. Yuebao Wang
6. G. Tsitsiashvili
7. Qingwu Gao
8. Xuemiao Hao

In Finance

1. Qihe Tang
2. Dingcheng Wang
3. Yiqing Chen
4. Yuebao Wang
5. Jostein Paulsen
6. Qingwu Gao
7. Xuemiao Hao
8. Kaiyong Wang

In Management Science and Operations Research

1. Qihe Tang
2. Dingcheng Wang
3. Yiqing Chen
4. Jostein Paulsen
5. Yuebao Wang
6. Qingwu Gao
7. Xuemiao Hao
8. Kaiyong Wang

Citations in the corpus

• The subexponentiality of products revisited (2007, background): “1 of Tang and Tsitsiashvili (2003b) (see also Lemma 2.”
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks (2011, background): “Following the works of Konstantinides et al. (2002) and Tang (2006b), we say that a distribution function F on R belongs to the class A if F ∈ S and the relation lim sup x→∞ F(cx) F (x) < 1 (2.1) holds for some c > 1.”
• Ruin Models with Investment Income (2008, background): “Further examples of inequalities can be found in [8, 34, 37, 38, 41, 75].”
• 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”
• THE FINITE-TIME RUIN PROBABILITY OF THE COMPOUND POISSON MODEL WITH CONSTANT INTEREST FORCE (2005, methodology): “Recently, Tang (2004) extended the work of Konstantinides et al. (2002) to the discrete-time model, while Tang (2005) extended the work of Klüppelberg and Stadtmüller (1998) to the ordinary renewal model.”
• 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.”
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008, background): “[2], Kalashnikov and Konstantinides[6], Klüppelberg and Stadtmüller[7] and Konstantinides et al.[8] investigated the asymptotic behavior of the ultimate ruin probability r (x) with C(·) a deterministic linear function, F a distribution function of the subexponential class or its some subclass, and N”
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails (2004, methodology): “In the recent work Konstantinides et al. (2002), we introduced a new subclass, A; of subexponential d.f.’s.”
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails (2008, background): “3 Konstantinides et al. (2002) investigated the asymptotic behavior of the ruin probability of the compound Poisson model.”
• 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.”