Gajek, Lesław; Rudź, Marcin Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model. (English) Zbl 07297567 Methodol. Comput. Appl. Probab. 22, No. 4, 1493-1506 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60J20 60J22 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, Methodol. Comput. Appl. Probab. 22, No. 4, 1493--1506 (2020; Zbl 07297567) Full Text: DOI
Constantinescu, C.; Delsing, G.; Mandjes, M.; Rojas Nandayapa, L. A ruin model with a resampled environment. (English) Zbl 1447.91131 Scand. Actuar. J. 2020, No. 4, 323-341 (2020). MSC: 91G05 60G51 PDF BibTeX XML Cite \textit{C. Constantinescu} et al., Scand. Actuar. J. 2020, No. 4, 323--341 (2020; Zbl 1447.91131) Full Text: DOI
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. (English) Zbl 1444.91188 J. Appl. Probab. 57, No. 2, 513-530 (2020). MSC: 91G05 60F10 PDF BibTeX XML Cite \textit{H. Albrecher} et al., J. Appl. Probab. 57, No. 2, 513--530 (2020; Zbl 1444.91188) Full Text: DOI
Cheng, Fengyang A note on randomly weighted sums of dependent subexponential random variables. (English) Zbl 1439.60031 Chin. Ann. Math., Ser. B 41, No. 3, 441-450 (2020). MSC: 60F15 62P05 PDF BibTeX XML Cite \textit{F. Cheng}, Chin. Ann. Math., Ser. B 41, No. 3, 441--450 (2020; Zbl 1439.60031) Full Text: DOI
Grandits, P. A ruin problem for a two-dimensional Brownian motion with controllable drift in the positive quadrant. (English) Zbl 1450.91033 Theory Probab. Appl. 64, No. 4, 646-655 (2020) and Teor. Veroyatn. Primen. 64, No. 4, 811-823 (2019). Reviewer: Claudio Fontana (Paris) MSC: 91G50 93E20 60J70 PDF BibTeX XML Cite \textit{P. Grandits}, Theory Probab. Appl. 64, No. 4, 646--655 (2020; Zbl 1450.91033) Full Text: DOI Link
Kabanov, Yuri; Pergamenshchikov, Serguei Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. (English) Zbl 1430.91031 Finance Stoch. 24, No. 1, 39-69 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B05 60J60 60G51 PDF BibTeX XML Cite \textit{Y. Kabanov} and \textit{S. Pergamenshchikov}, Finance Stoch. 24, No. 1, 39--69 (2020; Zbl 1430.91031) Full Text: DOI
Blanchet, Jose; Murthy, Karthyek Quantifying distributional model risk via optimal transport. (English) Zbl 1434.60113 Math. Oper. Res. 44, No. 2, 565-600 (2019). MSC: 60G07 60F99 62P05 PDF BibTeX XML Cite \textit{J. Blanchet} and \textit{K. Murthy}, Math. Oper. Res. 44, No. 2, 565--600 (2019; Zbl 1434.60113) Full Text: DOI
Goffard, Pierre-Olivier Two-sided exit problems in the ordered risk model. (English) Zbl 1427.60067 Methodol. Comput. Appl. Probab. 21, No. 2, 539-549 (2019). MSC: 60G40 60G55 91B05 62G30 62P05 PDF BibTeX XML Cite \textit{P.-O. Goffard}, Methodol. Comput. Appl. Probab. 21, No. 2, 539--549 (2019; Zbl 1427.60067) Full Text: DOI
Yang, Yang; Wang, Kaiyong; Liu, Jiajun; Zhang, Zhimin Asymptotics for a bidimensional risk model with two geometric Lévy price processes. (English) Zbl 1438.91119 J. Ind. Manag. Optim. 15, No. 2, 481-505 (2019). MSC: 91G05 60G51 60K05 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 15, No. 2, 481--505 (2019; Zbl 1438.91119) Full Text: DOI
Chen, Yu; Chen, Dan; Gao, Wenxue Extensions of Breiman’s theorem of product of dependent random variables with applications to ruin theory. (English) Zbl 1431.62065 Commun. Math. Stat. 7, No. 1, 1-23 (2019). Reviewer: Thorsten Dickhaus (Berlin) MSC: 62E20 60G70 62H05 62P20 PDF BibTeX XML Cite \textit{Y. Chen} et al., Commun. Math. Stat. 7, No. 1, 1--23 (2019; Zbl 1431.62065) Full Text: DOI
Ma, Ni; Whitt, Ward A rare-event simulation algorithm for periodic single-server queues. (English) Zbl 1446.90063 INFORMS J. Comput. 30, No. 1, 71-89 (2018). MSC: 90B22 60K20 60J65 PDF BibTeX XML Cite \textit{N. Ma} and \textit{W. Whitt}, INFORMS J. Comput. 30, No. 1, 71--89 (2018; Zbl 1446.90063) Full Text: DOI
Drekic, Steve; Woo, Jae-Kyung; Xu, Ran A threshold-based risk process with a waiting period to pay dividends. (English) Zbl 1412.60064 J. Ind. Manag. Optim. 14, No. 3, 1179-1201 (2018). MSC: 60G50 60K05 91B30 62P05 PDF BibTeX XML Cite \textit{S. Drekic} et al., J. Ind. Manag. Optim. 14, No. 3, 1179--1201 (2018; Zbl 1412.60064) Full Text: DOI
Yang, Yang; Yuen, Kam C.; Liu, Jun-Feng Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. (English) Zbl 1412.91059 J. Ind. Manag. Optim. 14, No. 1, 231-247 (2018). MSC: 91B30 60G51 60K05 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Ind. Manag. Optim. 14, No. 1, 231--247 (2018; Zbl 1412.91059) Full Text: DOI
Palmowski, Zbigniew; Ramsden, Lewis; Papaioannou, Apostolos D. Parisian ruin for the dual risk process in discrete-time. (English) Zbl 1416.91212 Eur. Actuar. J. 8, No. 1, 197-214 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{Z. Palmowski} et al., Eur. Actuar. J. 8, No. 1, 197--214 (2018; Zbl 1416.91212) Full Text: DOI arXiv
Cheng, Fengyang; Cheng, Dongya Randomly weighted sums of dependent subexponential random variables with applications to risk theory. (English) Zbl 1396.62021 Scand. Actuar. J. 2018, No. 3, 191-202 (2018). MSC: 62E20 91B30 PDF BibTeX XML Cite \textit{F. Cheng} and \textit{D. Cheng}, Scand. Actuar. J. 2018, No. 3, 191--202 (2018; Zbl 1396.62021) Full Text: DOI
Dong, Xuan Tran; Huy, Tuan Nguyen; Kirane, Mokhtar Regularization and error estimate of infinite-time ruin probabilities for Cramer-Lundberg model. (English) Zbl 1415.91152 Math. Methods Appl. Sci. 41, No. 10, 3820-3831 (2018). MSC: 91B30 44A10 PDF BibTeX XML Cite \textit{X. T. Dong} et al., Math. Methods Appl. Sci. 41, No. 10, 3820--3831 (2018; Zbl 1415.91152) Full Text: DOI
Buraczewski, D.; Damek, E.; Zienkiewicz, J. Pointwise estimates for first passage times of perpetuity sequences. (English) Zbl 1405.60036 Stochastic Processes Appl. 128, No. 9, 2923-2951 (2018). MSC: 60F10 60H25 60J10 PDF BibTeX XML Cite \textit{D. Buraczewski} et al., Stochastic Processes Appl. 128, No. 9, 2923--2951 (2018; Zbl 1405.60036) Full Text: DOI
Privault, Nicolas Understanding Markov chains. Examples and applications. 2nd edition. (English) Zbl 06897890 Springer Undergraduate Mathematics Series. Singapore: Springer (ISBN 978-981-13-0658-7/pbk; 978-981-13-0659-4/ebook). xvii, 372 p. (2018). MSC: 60-01 60J10 60G50 60J80 PDF BibTeX XML Cite \textit{N. Privault}, Understanding Markov chains. Examples and applications. 2nd edition. Singapore: Springer (2018; Zbl 06897890) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Banach contraction principle and ruin probabilities in regime-switching models. (English) Zbl 1402.91195 Insur. Math. Econ. 80, 45-53 (2018). MSC: 91B30 54H25 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, Insur. Math. Econ. 80, 45--53 (2018; Zbl 1402.91195) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Deficit distributions at ruin in a regime-switching Sparre Andersen model. (English) Zbl 1398.91327 J. Appl. Anal. 24, No. 1, 99-107 (2018). MSC: 91B30 60J20 60K10 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, J. Appl. Anal. 24, No. 1, 99--107 (2018; Zbl 1398.91327) Full Text: DOI
Willmot, Gordon E.; Woo, Jae-Kyung Surplus analysis of Sparre Andersen insurance risk processes. (English) Zbl 1391.91006 Springer Actuarial. Cham: Springer (ISBN 978-3-319-71361-8/hbk; 978-3-319-71362-5/ebook). viii, 225 p. (2017). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91-02 91B30 60K10 60K05 PDF BibTeX XML Cite \textit{G. E. Willmot} and \textit{J.-K. Woo}, Surplus analysis of Sparre Andersen insurance risk processes. Cham: Springer (2017; Zbl 1391.91006) Full Text: DOI
Gajek, Lesław; Rudź, Marcin A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. (English) Zbl 1415.91153 Stat. Probab. Lett. 129, 236-240 (2017). MSC: 91B30 60J20 60K10 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, Stat. Probab. Lett. 129, 236--240 (2017; Zbl 1415.91153) Full Text: DOI
Lefèvre, Claude; Trufin, Julien; Zuyderhoff, Pierre Some comparison results for finite-time ruin probabilities in the classical risk model. (English) Zbl 1397.91289 Insur. Math. Econ. 77, 143-149 (2017). MSC: 91B30 60E05 60E15 PDF BibTeX XML Cite \textit{C. Lefèvre} et al., Insur. Math. Econ. 77, 143--149 (2017; Zbl 1397.91289) Full Text: DOI
Yazici, Mehmet Akif; Akar, Nail The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach. (English) Zbl 1371.60167 Ann. Oper. Res. 252, No. 1, 85-99 (2017). MSC: 60K25 90B22 91B30 68M20 PDF BibTeX XML Cite \textit{M. A. Yazici} and \textit{N. Akar}, Ann. Oper. Res. 252, No. 1, 85--99 (2017; Zbl 1371.60167) Full Text: DOI
Ramsden, Lewis; Papaioannou, Apostolos D. Asymptotic results for a Markov-modulated risk process with stochastic investment. (English) Zbl 1410.91285 J. Comput. Appl. Math. 313, 38-53 (2017). MSC: 91B30 60J20 60K10 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, J. Comput. Appl. Math. 313, 38--53 (2017; Zbl 1410.91285) Full Text: DOI
Yang, Yang; Yuen, Kam C. Asymptotics for a discrete-time risk model with gamma-like insurance risks. (English) Zbl 1401.91206 Scand. Actuar. J. 2016, No. 6, 565-579 (2016). MSC: 91B30 62P05 62E10 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{K. C. Yuen}, Scand. Actuar. J. 2016, No. 6, 565--579 (2016; Zbl 1401.91206) Full Text: DOI
Joshi, Mark S.; Zhu, Dan The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. (English) Zbl 1390.91191 ASTIN Bull. 46, No. 2, 431-467 (2016). MSC: 91B30 62P05 91G60 PDF BibTeX XML Cite \textit{M. S. Joshi} and \textit{D. Zhu}, ASTIN Bull. 46, No. 2, 431--467 (2016; Zbl 1390.91191) Full Text: DOI
Buraczewski, Dariusz; Collamore, Jeffrey F.; Damek, Ewa; Zienkiewicz, Jacek Large deviation estimates for exceedance times of perpetuity sequences and their dual processes. (English) Zbl 1362.60023 Ann. Probab. 44, No. 6, 3688-3739 (2016). Reviewer: Thorsten Dickhaus (Berlin) MSC: 60F10 60H25 60K05 60J10 PDF BibTeX XML Cite \textit{D. Buraczewski} et al., Ann. Probab. 44, No. 6, 3688--3739 (2016; Zbl 1362.60023) Full Text: DOI arXiv
Belkina, T.; Kabanov, Yu. Viscosity solutions of integro-differential equations for nonruin probabilities. (English. Russian original) Zbl 1415.91150 Theory Probab. Appl. 60, No. 4, 671-679 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 802-810 (2015). MSC: 91B30 45K05 60G51 49L25 PDF BibTeX XML Cite \textit{T. Belkina} and \textit{Yu. Kabanov}, Theory Probab. Appl. 60, No. 4, 671--679 (2016; Zbl 1415.91150); translation from Teor. Veroyatn. Primen. 60, No. 4, 802--810 (2015) Full Text: DOI
Mikosch, Thomas; Wintenberger, Olivier A large deviations approach to limit theory for heavy-tailed time series. (English) Zbl 1350.60024 Probab. Theory Relat. Fields 166, No. 1-2, 233-269 (2016). Reviewer: Seenith Sivasundaram (Daytona Beach) MSC: 60F10 60F05 60G50 60G70 60G55 62M10 PDF BibTeX XML Cite \textit{T. Mikosch} and \textit{O. Wintenberger}, Probab. Theory Relat. Fields 166, No. 1--2, 233--269 (2016; Zbl 1350.60024) Full Text: DOI arXiv
Mishura, Yuliya; Ragulina, Olena Ruin probabilities. Smoothness, bounds, supermartingale approach. (English) Zbl 1422.91023 Amsterdam: Elsevier; London: ISTE Press (ISBN 978-1-78548-218-2/hbk). xv, 260 p. (2016). MSC: 91-02 91B30 60G48 60H30 PDF BibTeX XML Cite \textit{Y. Mishura} and \textit{O. Ragulina}, Ruin probabilities. Smoothness, bounds, supermartingale approach. Amsterdam: Elsevier; London: ISTE Press (2016; Zbl 1422.91023)
Maulik, Krishanu; Podder, Moumanti Ruin probabilities under Sarmanov dependence structure. (English) Zbl 1397.60088 Stat. Probab. Lett. 117, 173-182 (2016). MSC: 60G70 60E05 91B30 PDF BibTeX XML Cite \textit{K. Maulik} and \textit{M. Podder}, Stat. Probab. Lett. 117, 173--182 (2016; Zbl 1397.60088) Full Text: DOI
Yang, Yang; Yuen, Kam C. Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims. (English) Zbl 1382.91048 J. Math. Anal. Appl. 442, No. 2, 600-626 (2016). MSC: 91B30 60K10 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{K. C. Yuen}, J. Math. Anal. Appl. 442, No. 2, 600--626 (2016; Zbl 1382.91048) Full Text: DOI
Bhattacharya, Rabi; Majumdar, Mukul Ruin probabilities in models of resource management and insurance: a synthesis. (English) Zbl 1398.91311 Int. J. Econ. Theory 11, No. 1, 59-74 (2015). MSC: 91B30 91B76 60J20 60K10 PDF BibTeX XML Cite \textit{R. Bhattacharya} and \textit{M. Majumdar}, Int. J. Econ. Theory 11, No. 1, 59--74 (2015; Zbl 1398.91311) Full Text: DOI
Yang, Yang; Konstantinides, Dimitrios G. Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks. (English) Zbl 1401.91205 Scand. Actuar. J. 2015, No. 8, 641-659 (2015). MSC: 91B30 62P05 62E10 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{D. G. Konstantinides}, Scand. Actuar. J. 2015, No. 8, 641--659 (2015; Zbl 1401.91205) Full Text: DOI
Yang, Yang; Tan, Zhongquan; Zhong, Yunyun Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model. (English) Zbl 1406.91475 Stat. Interface 8, No. 1, 3-8 (2015). MSC: 91G40 62E10 62P05 60F05 62G32 PDF BibTeX XML Cite \textit{Y. Yang} et al., Stat. Interface 8, No. 1, 3--8 (2015; Zbl 1406.91475) Full Text: DOI
Jiang, Tao; Wang, Yuebao; Chen, Yang; Xu, Hui Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model. (English) Zbl 1348.91155 Insur. Math. Econ. 64, 45-53 (2015). MSC: 91B30 60K10 62P05 62H20 62E20 PDF BibTeX XML Cite \textit{T. Jiang} et al., Insur. Math. Econ. 64, 45--53 (2015; Zbl 1348.91155) Full Text: DOI
Li, Jinzhu; Tang, Qihe Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. (English) Zbl 1336.91048 Bernoulli 21, No. 3, 1800-1823 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B30 PDF BibTeX XML Cite \textit{J. Li} and \textit{Q. Tang}, Bernoulli 21, No. 3, 1800--1823 (2015; Zbl 1336.91048) Full Text: DOI Euclid arXiv
Chau, K. W.; Yam, S. C. P.; Yang, H. Fourier-cosine method for ruin probabilities. (English) Zbl 1305.91163 J. Comput. Appl. Math. 281, 94-106 (2015). MSC: 91B30 42A10 60E10 62P05 91G20 PDF BibTeX XML Cite \textit{K. W. Chau} et al., J. Comput. Appl. Math. 281, 94--106 (2015; Zbl 1305.91163) Full Text: DOI
Tran, Dong Xuan Padé approximants for finite time ruin probabilities. (English) Zbl 1301.91020 J. Comput. Appl. Math. 278, 130-137 (2015). MSC: 91B30 41A21 65C99 PDF BibTeX XML Cite \textit{D. X. Tran}, J. Comput. Appl. Math. 278, 130--137 (2015; Zbl 1301.91020) Full Text: DOI
Murthy, Karthyek R. A.; Juneja, Sandeep; Blanchet, Jose State-independent importance sampling for random walks with regularly varying increments. (English) Zbl 1319.60094 Stoch. Syst. 4, No. 2, 321-374 (2014). MSC: 60G50 60J05 60F10 68W40 60J20 60K25 91B30 PDF BibTeX XML Cite \textit{K. R. A. Murthy} et al., Stoch. Syst. 4, No. 2, 321--374 (2014; Zbl 1319.60094) Full Text: DOI Euclid arXiv
Lin, Jianxi Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory. (English) Zbl 1328.62087 Extremes 17, No. 2, 247-262 (2014). MSC: 62E20 91B30 60G50 PDF BibTeX XML Cite \textit{J. Lin}, Extremes 17, No. 2, 247--262 (2014; Zbl 1328.62087) Full Text: DOI
Chen, Yu; Yang, Yingying Ruin probabilities with insurance and financial risks having an FGM dependence structure. (English) Zbl 1388.62306 Sci. China, Math. 57, No. 5, 1071-1082 (2014). MSC: 62P05 62E20 60G70 91B30 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{Y. Yang}, Sci. China, Math. 57, No. 5, 1071--1082 (2014; Zbl 1388.62306) Full Text: DOI
Xu, Tianming; Wu, Qingtai Asymptotic ruin probabilities of a risk model with double investment strategies. (Chinese. English summary) Zbl 1313.91089 J. Shandong Univ., Nat. Sci. 49, No. 1, 92-96 (2014). MSC: 91B30 62P05 60H30 PDF BibTeX XML Cite \textit{T. Xu} and \textit{Q. Wu}, J. Shandong Univ., Nat. Sci. 49, No. 1, 92--96 (2014; Zbl 1313.91089) Full Text: DOI
Yang, Yang; Wang, Yuebao Tail behavior of the product of two dependent random variables with applications to risk theory. (English) Zbl 1329.62085 Extremes 16, No. 1, 55-74 (2013). MSC: 62E20 62H20 62G32 62P05 91B30 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{Y. Wang}, Extremes 16, No. 1, 55--74 (2013; Zbl 1329.62085) Full Text: DOI
Griffin, Philip S.; Maller, Ross A.; Roberts, Dale Finite time ruin probabilities for tempered stable insurance risk processes. (English) Zbl 1304.91106 Insur. Math. Econ. 53, No. 2, 478-489 (2013). MSC: 91B30 60G51 60G52 60G15 PDF BibTeX XML Cite \textit{P. S. Griffin} et al., Insur. Math. Econ. 53, No. 2, 478--489 (2013; Zbl 1304.91106) Full Text: DOI arXiv
Afonso, Lourdes B.; Cardoso, Rui M. R.; Egídio dos Reis, Alfredo D. Dividend problems in the dual risk model. (English) Zbl 1290.91073 Insur. Math. Econ. 53, No. 3, 906-918 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{L. B. Afonso} et al., Insur. Math. Econ. 53, No. 3, 906--918 (2013; Zbl 1290.91073) Full Text: DOI
Zhu, Lingjiong Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims. (English) Zbl 1290.91107 Insur. Math. Econ. 53, No. 3, 544-550 (2013). MSC: 91B30 60G55 60F10 PDF BibTeX XML Cite \textit{L. Zhu}, Insur. Math. Econ. 53, No. 3, 544--550 (2013; Zbl 1290.91107) Full Text: DOI arXiv
Qu, Zhihui; Chen, Yu Approximations of the tail probability of the product of dependent extremal random variables and applications. (English) Zbl 1284.60105 Insur. Math. Econ. 53, No. 1, 169-178 (2013). MSC: 60G70 62H05 62E17 62P05 91B30 PDF BibTeX XML Cite \textit{Z. Qu} and \textit{Y. Chen}, Insur. Math. Econ. 53, No. 1, 169--178 (2013; Zbl 1284.60105) Full Text: DOI
Chen, Yu; Qian, Yinxiao; Huang, Yin Asymptotic ruin probabilities for proportional investment under interest force with regularly-varying-tailed and independent claims. (Chinese. English summary) Zbl 1299.91055 J. Univ. Sci. Technol. China 43, No. 6, 431-437 (2013). MSC: 91B30 60K05 60H30 PDF BibTeX XML Cite \textit{Y. Chen} et al., J. Univ. Sci. Technol. China 43, No. 6, 431--437 (2013; Zbl 1299.91055) Full Text: DOI
Gajek, Lesław; Rudź, Marcin Sharp approximations of ruin probabilities in the discrete time models. (English) Zbl 1291.91107 Scand. Actuar. J. 2013, No. 5, 352-382 (2013). Reviewer: Tomáš Cipra (Praha) MSC: 91B30 91G50 PDF BibTeX XML Cite \textit{L. Gajek} and \textit{M. Rudź}, Scand. Actuar. J. 2013, No. 5, 352--382 (2013; Zbl 1291.91107) Full Text: DOI
Lu, Yingdong Finite horizon ruin probabilities for random walks with heavy tailed increments. (English) Zbl 1276.60055 Probab. Eng. Inf. Sci. 27, No. 2, 237-246 (2013). MSC: 60G50 91B30 PDF BibTeX XML Cite \textit{Y. Lu}, Probab. Eng. Inf. Sci. 27, No. 2, 237--246 (2013; Zbl 1276.60055) Full Text: DOI
Privault, Nicolas Understanding Markov chains. Examples and applications. (English) Zbl 1305.60003 Springer Undergraduate Mathematics Series. Singapore: Springer (ISBN 978-981-4451-50-5/pbk; 978-981-4451-51-2/ebook). ix, 354 p. (2013). Reviewer: Michael Högele (Berlin) MSC: 60-01 60J10 60J27 60J80 60K10 PDF BibTeX XML Cite \textit{N. Privault}, Understanding Markov chains. Examples and applications. Singapore: Springer (2013; Zbl 1305.60003) Full Text: DOI
Yang, Yang; Wang, Kaiyong; Liu, Jie Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model. (English) Zbl 1261.91023 J. Math. Anal. Appl. 398, No. 1, 352-361 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Math. Anal. Appl. 398, No. 1, 352--361 (2013; Zbl 1261.91023) Full Text: DOI
Chen, Yu; Huang, Yin; Zhang, Weiping Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims. (English) Zbl 1296.91147 J. Korean Stat. Soc. 41, No. 1, 87-95 (2012). MSC: 91B30 60K10 60G70 62E20 PDF BibTeX XML Cite \textit{Y. Chen} et al., J. Korean Stat. Soc. 41, No. 1, 87--95 (2012; Zbl 1296.91147) Full Text: DOI
Yang, Yang; Wang, Kaiyong Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims. (English) Zbl 1292.91098 Lith. Math. J. 52, No. 1, 111-121 (2012). MSC: 91B30 60K10 60F05 60G70 62E10 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{K. Wang}, Lith. Math. J. 52, No. 1, 111--121 (2012; Zbl 1292.91098) Full Text: DOI
Wan, Chenggao Local ruin probabilities in the multi-delayed compound renewal risk model. (Chinese. English summary) Zbl 1265.91097 J. Hubei Univ., Nat. Sci. 34, No. 1, 14-20 (2012). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{C. Wan}, J. Hubei Univ., Nat. Sci. 34, No. 1, 14--20 (2012; Zbl 1265.91097)
Hao, Xuemiao; Tang, Qihe Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments. (English) Zbl 1255.91180 J. Appl. Probab. 49, No. 4, 939-953 (2012). MSC: 91B30 60G51 39A50 91G70 PDF BibTeX XML Cite \textit{X. Hao} and \textit{Q. Tang}, J. Appl. Probab. 49, No. 4, 939--953 (2012; Zbl 1255.91180) Full Text: DOI Euclid
Qin, Li; Pitts, Susan M. Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model. (English) Zbl 1416.62590 Methodol. Comput. Appl. Probab. 14, No. 4, 919-936 (2012). MSC: 62P05 60K10 62G05 62G20 91B30 PDF BibTeX XML Cite \textit{L. Qin} and \textit{S. M. Pitts}, Methodol. Comput. Appl. Probab. 14, No. 4, 919--936 (2012; Zbl 1416.62590) Full Text: DOI
Regazzini, Eugenio; Spizzichino, Fabio Bruno de Finetti’s encounter with martingales. (English) Zbl 1344.60009 J. Électron. Hist. Probab. Stat. 7, No. 1, Article 2, 20 p. (2011). MSC: 60-03 60G40 60G42 91B16 91B30 01A70 PDF BibTeX XML Cite \textit{E. Regazzini} and \textit{F. Spizzichino}, J. Électron. Hist. Probab. Stat. 7, No. 1, Article 2, 20 p. (2011; Zbl 1344.60009) Full Text: Link EMIS
Hult, Henrik; Lindskog, Filip Ruin probabilities under general investments and heavy-tailed claims. (English) Zbl 1303.91091 Finance Stoch. 15, No. 2, 243-265 (2011). MSC: 91B30 60F10 60G48 60G70 60H20 60H30 PDF BibTeX XML Cite \textit{H. Hult} and \textit{F. Lindskog}, Finance Stoch. 15, No. 2, 243--265 (2011; Zbl 1303.91091) Full Text: DOI arXiv
Aïssani, D.; Benouaret, Z. Risk models and queueing systems: the strong stability method. (Modèles de Risque et Files d’Attente: La méthode de stabilité forte.) (French. English summary) Zbl 1241.90026 Afr. Stat. 5, 201-218 (2010). MSC: 90B22 91B30 60K25 PDF BibTeX XML Cite \textit{D. Aïssani} and \textit{Z. Benouaret}, Afr. Stat. 5, 201--218 (2010; Zbl 1241.90026) Full Text: Link
Hipp, Christian; Taksar, Michael Optimal non-proportional reinsurance control. (English) Zbl 1231.91199 Insur. Math. Econ. 47, No. 2, 246-254 (2010). MSC: 91B30 60J70 PDF BibTeX XML Cite \textit{C. Hipp} and \textit{M. Taksar}, Insur. Math. Econ. 47, No. 2, 246--254 (2010; Zbl 1231.91199) Full Text: DOI
Benouaret, Zina; Aïssani, Djamil Strong stability in a two-dimensional classical risk model with independent claims. (English) Zbl 1224.91044 Scand. Actuar. J. 2010, No. 2, 83-92 (2010). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Benouaret} and \textit{D. Aïssani}, Scand. Actuar. J. 2010, No. 2, 83--92 (2010; Zbl 1224.91044) Full Text: DOI
Cheng, Xianmin; Wang, Ying Ruin probability estimates in the Pascal model with Markov-modulated premium rate under random interest. (Chinese. English summary) Zbl 1224.91051 Acta Math. Appl. Sin. 33, No. 2, 214-221 (2010). MSC: 91B30 91G80 62P05 91G30 PDF BibTeX XML Cite \textit{X. Cheng} and \textit{Y. Wang}, Acta Math. Appl. Sin. 33, No. 2, 214--221 (2010; Zbl 1224.91051)
Stabile, Gabriele; Torrisi, Giovanni Luca Risk processes with non-stationary Hawkes claims arrivals. (English) Zbl 1231.91239 Methodol. Comput. Appl. Probab. 12, No. 3, 415-429 (2010). MSC: 91B30 60G55 65C05 60K10 PDF BibTeX XML Cite \textit{G. Stabile} and \textit{G. L. Torrisi}, Methodol. Comput. Appl. Probab. 12, No. 3, 415--429 (2010; Zbl 1231.91239) Full Text: DOI
Ng, Andrew C. Y. On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains. (English) Zbl 1230.91081 Astin Bull. 40, No. 1, 281-306 (2010). MSC: 91B30 PDF BibTeX XML Cite \textit{A. C. Y. Ng}, ASTIN Bull. 40, No. 1, 281--306 (2010; Zbl 1230.91081) Full Text: DOI
Asmussen, Søren; Albrecher, Hansjörg Ruin probabilities. 2nd ed. (English) Zbl 1247.91080 Advanced Series on Statistical Science & Applied Probability 14. Hackensack, NJ: World Scientific (ISBN 978-981-4282-52-9/hbk; 978-981-4282-53-6/ebook). xvii, 602 p. (2010). Reviewer: Uwe Küchler (Berlin) MSC: 91B30 60-02 60J75 60K05 60K15 60G44 60G50 60J60 60F10 60K37 PDF BibTeX XML Cite \textit{S. Asmussen} and \textit{H. Albrecher}, Ruin probabilities. 2nd ed. Hackensack, NJ: World Scientific (2010; Zbl 1247.91080) Full Text: Link
Denis, Laurent; Fernández, Begoña; Meda, Ana Estimation of value at risk and ruin probability for diffusion processes with jumps. (English) Zbl 1168.91462 Math. Finance 19, No. 2, 281-302 (2009). MSC: 91B70 PDF BibTeX XML Cite \textit{L. Denis} et al., Math. Finance 19, No. 2, 281--302 (2009; Zbl 1168.91462) Full Text: DOI
Collamore, Jeffrey F. Random recurrence equations and ruin in a Markov-dependent stochastic economic environment. (English) Zbl 1176.60018 Ann. Appl. Probab. 19, No. 4, 1404-1458 (2009). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60F10 60F17 60J10 60G70 PDF BibTeX XML Cite \textit{J. F. Collamore}, Ann. Appl. Probab. 19, No. 4, 1404--1458 (2009; Zbl 1176.60018) Full Text: DOI arXiv
Li, Shuanming; Lu, Yi The distribution of total dividend payments in a Sparre Andersen model. (English) Zbl 1160.62359 Stat. Probab. Lett. 79, No. 9, 1246-1251 (2009). MSC: 62P05 62E15 91B30 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, Stat. Probab. Lett. 79, No. 9, 1246--1251 (2009; Zbl 1160.62359) Full Text: DOI
Liang, Zhibin; Guo, Junyi Upper bound for ruin probabilities under optimal investment and proportional reinsurance. (English) Zbl 1199.91088 Appl. Stoch. Models Bus. Ind. 24, No. 2, 109-128 (2008). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 60J28 60J70 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{J. Guo}, Appl. Stoch. Models Bus. Ind. 24, No. 2, 109--128 (2008; Zbl 1199.91088) Full Text: DOI
Mnatsakanov, R.; Ruymgaart, L. L.; Ruymgaart, F. H. Nonparametric estimation of ruin probabilities given a random sample of claims. (English) Zbl 1282.62080 Math. Methods Stat. 17, No. 1, 35-43 (2008). MSC: 62G05 91B30 PDF BibTeX XML Cite \textit{R. Mnatsakanov} et al., Math. Methods Stat. 17, No. 1, 35--43 (2008; Zbl 1282.62080) Full Text: DOI
Biard, Romain; Lefèvre, Claude; Loisel, Stéphane Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed. (English) Zbl 1152.91565 Insur. Math. Econ. 43, No. 3, 412-421 (2008). MSC: 91B30 60J99 60K10 PDF BibTeX XML Cite \textit{R. Biard} et al., Insur. Math. Econ. 43, No. 3, 412--421 (2008; Zbl 1152.91565) Full Text: DOI
Malinovskii, Vsevolod K. Adaptive control strategies and dependence of finite time ruin on the premium loading. (English) Zbl 1141.91534 Insur. Math. Econ. 42, No. 1, 81-94 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{V. K. Malinovskii}, Insur. Math. Econ. 42, No. 1, 81--94 (2008; Zbl 1141.91534) Full Text: DOI
Vernic, Raluca On the asymptotic ruin probability with some specific stochastic discount factors. (English) Zbl 1199.62057 Rev. Roum. Math. Pures Appl. 52, No. 4, 479-495 (2007). Reviewer: Ana-Maria Acu (Sibiu) MSC: 62P05 62E20 91B30 PDF BibTeX XML Cite \textit{R. Vernic}, Rev. Roum. Math. Pures Appl. 52, No. 4, 479--495 (2007; Zbl 1199.62057)
Sun, Shuwang; Chen, Li Some results for ruin probabilities of \(n\)-company stop loss—proportional mixed reinsurance. (Chinese. English summary) Zbl 1174.91507 J. Guizhou Norm. Univ., Nat. Sci. 25, No. 2, 53-56 (2007). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{S. Sun} and \textit{L. Chen}, J. Guizhou Norm. Univ., Nat. Sci. 25, No. 2, 53--56 (2007; Zbl 1174.91507)
Ganesh, A.; Macci, C.; Torrisi, G. L. A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling. (English) Zbl 1178.60061 Queueing Syst. 55, No. 2, 83-94 (2007). MSC: 60K10 60F10 60K05 91B30 PDF BibTeX XML Cite \textit{A. Ganesh} et al., Queueing Syst. 55, No. 2, 83--94 (2007; Zbl 1178.60061) Full Text: DOI
Enăchescu, Denis; Vernic, Raluca Approximating the distribution of a randomly weighted sum of random variables using kernel and neural network methods. (English) Zbl 1150.62446 Math. Rep., Bucur. 8(58), No. 1, 37-47 (2006). Reviewer: Neculai Curteanu (Iaşi) MSC: 62P05 62M45 62G07 65C60 90B30 PDF BibTeX XML Cite \textit{D. Enăchescu} and \textit{R. Vernic}, Math. Rep., Buchar. 8(58), No. 1, 37--47 (2006; Zbl 1150.62446)
Albrecher, Hansjörg; Asmussen, Søren Ruin probabilities and aggregate claims distributions for shot noise Cox processes. (English) Zbl 1129.91022 Scand. Actuar. J. 2006, No. 2, 86-110 (2006). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{S. Asmussen}, Scand. Actuar. J. 2006, No. 2, 86--110 (2006; Zbl 1129.91022) Full Text: DOI
Cheng, Yebin; Tang, Qihe Tail asymptotics for Pollaczek-Khinchin type series with applications to ruin in perturbed model. (English) Zbl 1108.62107 Southeast Asian Bull. Math. 30, No. 3, 427-437 (2006). MSC: 62P05 62G32 91B30 62E20 PDF BibTeX XML Cite \textit{Y. Cheng} and \textit{Q. Tang}, Southeast Asian Bull. Math. 30, No. 3, 427--437 (2006; Zbl 1108.62107)
Baldi, Paolo; Pacchiarotti, Barbara Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion. (English) Zbl 1125.62085 Bernoulli 12, No. 4, 663-688 (2006). MSC: 62M05 65C60 60F10 62M09 46N30 PDF BibTeX XML Cite \textit{P. Baldi} and \textit{B. Pacchiarotti}, Bernoulli 12, No. 4, 663--688 (2006; Zbl 1125.62085) Full Text: DOI
Liu, S. X.; Guo, J. Y. Discrete risk model revisited. (English) Zbl 1098.91074 Methodol. Comput. Appl. Probab. 8, No. 2, 303-313 (2006). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{S. X. Liu} and \textit{J. Y. Guo}, Methodol. Comput. Appl. Probab. 8, No. 2, 303--313 (2006; Zbl 1098.91074) Full Text: DOI
Macci, Claudio Large deviations for risk models in which each main claim induces a delayed claim. (English) Zbl 1097.60009 Stochastics 78, No. 2, 77-89 (2006). MSC: 60F10 91B30 PDF BibTeX XML Cite \textit{C. Macci}, Stochastics 78, No. 2, 77--89 (2006; Zbl 1097.60009) Full Text: DOI
Tang, Qihe Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. (English) Zbl 1144.91030 Scand. Actuar. J. 2005, No. 1, 1-5 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 62P05 60G50 62E20 PDF BibTeX XML Cite \textit{Q. Tang}, Scand. Actuar. J. 2005, No. 1, 1--5 (2005; Zbl 1144.91030) Full Text: DOI
Wang, Dingcheng; Su, Chun; Zeng, Yong Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory. (English) Zbl 1112.62123 Sci. China, Ser. A 48, No. 10, 1379-1394 (2005). MSC: 62P05 91B30 62G32 62G05 PDF BibTeX XML Cite \textit{D. Wang} et al., Sci. China, Ser. A 48, No. 10, 1379--1394 (2005; Zbl 1112.62123) Full Text: DOI
Garcia, Jorge M. A. Explicit solutions for survival probabilities in the classical risk model. (English) Zbl 1101.62100 Astin Bull. 35, No. 1, 113-130 (2005). MSC: 62P05 91B30 60J99 PDF BibTeX XML Cite \textit{J. M. A. Garcia}, ASTIN Bull. 35, No. 1, 113--130 (2005; Zbl 1101.62100) Full Text: DOI
Pellerey, Franco; Zucca, Cristina Stochastic bounds for the Sparre Andersen process. (English) Zbl 1092.60035 Methodol. Comput. Appl. Probab. 7, No. 2, 225-247 (2005). Reviewer: Janos Galambos (Philadelphia) MSC: 60K10 60E15 PDF BibTeX XML Cite \textit{F. Pellerey} and \textit{C. Zucca}, Methodol. Comput. Appl. Probab. 7, No. 2, 225--247 (2005; Zbl 1092.60035) Full Text: DOI
Dieker, A. B. Reduced-load equivalence for queues with Gaussian input. (English) Zbl 1080.90027 Queueing Syst. 49, No. 3-4, 405-414 (2005). MSC: 90B22 60K25 PDF BibTeX XML Cite \textit{A. B. Dieker}, Queueing Syst. 49, No. 3--4, 405--414 (2005; Zbl 1080.90027) Full Text: DOI
Zwart, Bert; Borst, Sem; Dȩbicki, Krzystof Subexponential asymptotics of hybrid fluid and ruin models. (English) Zbl 1079.60037 Ann. Appl. Probab. 15, No. 1A, 500-517 (2005). Reviewer: Alexander Lindner (München) MSC: 60G15 60G70 60F10 PDF BibTeX XML Cite \textit{B. Zwart} et al., Ann. Appl. Probab. 15, No. 1A, 500--517 (2005; Zbl 1079.60037) Full Text: DOI arXiv
Čížek, Pavel; Härdle, Wolfgang; Weron, Rafał Statistical tools for finance and insurance. (English) Zbl 1078.62112 Berlin: Springer (ISBN 3-540-22189-1/pbk). 517 p. (2005). Reviewer: Edward M. Psyadlo (Odessa) MSC: 62-01 91-01 62P05 91G70 91B30 91B26 PDF BibTeX XML Cite \textit{P. Čížek} et al., Statistical tools for finance and insurance. Berlin: Springer (2005; Zbl 1078.62112) Full Text: DOI
Grandits, Peter A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market. (English) Zbl 1108.60061 Insur. Math. Econ. 34, No. 2, 297-305 (2004). MSC: 60H30 60G50 60H10 91B30 PDF BibTeX XML Cite \textit{P. Grandits}, Insur. Math. Econ. 34, No. 2, 297--305 (2004; Zbl 1108.60061) Full Text: DOI
Morales, Manuel Risk theory with the generalized inverse Gaussian Lévy process. (English) Zbl 1102.60043 Astin Bull. 34, No. 2, 361-377 (2004). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{M. Morales}, ASTIN Bull. 34, No. 2, 361--377 (2004; Zbl 1102.60043) Full Text: DOI
Torrisi, G. L. Simulating the ruin probability of risk processes with delay in claim settlement. (English) Zbl 1114.91066 Stochastic Processes Appl. 112, No. 2, 225-244 (2004). MSC: 91B30 60G55 PDF BibTeX XML Cite \textit{G. L. Torrisi}, Stochastic Processes Appl. 112, No. 2, 225--244 (2004; Zbl 1114.91066) Full Text: DOI
Privault, Nicolas; Wei, Xiao A Malliavin calculus approach to sensitivity analysis in insurance. (English) Zbl 1122.91044 Insur. Math. Econ. 35, No. 3, 679-690 (2004). MSC: 91B30 91B70 60H07 60H30 PDF BibTeX XML Cite \textit{N. Privault} and \textit{X. Wei}, Insur. Math. Econ. 35, No. 3, 679--690 (2004; Zbl 1122.91044) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Compound binomial risk model in a Markovian environment. (English) Zbl 1079.91049 Insur. Math. Econ. 35, No. 2, 425-443 (2004). MSC: 91B30 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 35, No. 2, 425--443 (2004; Zbl 1079.91049) Full Text: DOI
Rullière, Didier; Loisel, Stéphane Another look at the Picard–Lefèvre formula for finite-time ruin probabilities. (English) Zbl 1103.91048 Insur. Math. Econ. 35, No. 2, 187-203 (2004). Reviewer: Giacomo Bonanno (Davis) MSC: 91B30 62P05 62E10 PDF BibTeX XML Cite \textit{D. Rullière} and \textit{S. Loisel}, Insur. Math. Econ. 35, No. 2, 187--203 (2004; Zbl 1103.91048) Full Text: DOI
Grandits, Peter An analogue of the Cramér-Lundberg approximation in the optimal investment case. (English) Zbl 1112.91039 Appl. Math. Optimization 50, No. 1, 1-20 (2004). MSC: 91B30 91B28 60H10 60H30 PDF BibTeX XML Cite \textit{P. Grandits}, Appl. Math. Optim. 50, No. 1, 1--20 (2004; Zbl 1112.91039) Full Text: DOI
Jiang, Tao; Tang, Qihe On the moments of the severity of ruin in the delayed renewal risk model under heavy-tailed claims. (English) Zbl 1048.62098 Southeast Asian Bull. Math. 27, No. 6, 1043-1050 (2004). MSC: 62P05 91B30 62E10 PDF BibTeX XML Cite \textit{T. Jiang} and \textit{Q. Tang}, Southeast Asian Bull. Math. 27, No. 6, 1043--1050 (2004; Zbl 1048.62098)
Morales, Manuel; Schoutens, Wim A risk model driven by Lévy processes. (English) Zbl 1051.60051 Appl. Stoch. Models Bus. Ind. 19, No. 2, 147-167 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G51 62P05 91B30 PDF BibTeX XML Cite \textit{M. Morales} and \textit{W. Schoutens}, Appl. Stoch. Models Bus. Ind. 19, No. 2, 147--167 (2003; Zbl 1051.60051) Full Text: DOI