Add to ORKGThis paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behavior of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions of involved risks. The main novelty of our results lies in the quantification of the impact of the financial ris
This paper considered a dependent discrete-time risk model, in which the insurance risks are represe...
This paper considers a by-claim risk model with constant interest rate in which the main claim and b...
Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who ...
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are...
AbstractThis paper considers the discrete-time risk model with insurance risk and financial risk in ...
Consider an insurance company exposed to a stochastic economic environment that contains two kinds o...
AbstractThis paper investigates the probability of ruin within finite horizon for a discrete time ri...
This paper investigates the finite and infinite time ruin probabilities in a discrete time stochasti...
International audienceModeling insurance risks is a task that received an increasing attention becau...
This note complements a recent study in ruin theory with risky investment by establishing the same a...
In this thesis, we are interested in the asymptotic analysis of extremes and risks. The heavy-tailed...
This is the second revised version dated on June 18, 2008 This paper establishes some asymptotic res...
Recently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in whic...
This paper presents an extension of the classical compound Poisson risk model in which the inter-cla...
National audienceIn this paper, we consider a discrete-time ruin model where experience rating is ta...
This paper considered a dependent discrete-time risk model, in which the insurance risks are represe...
This paper considers a by-claim risk model with constant interest rate in which the main claim and b...
Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who ...
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are...
AbstractThis paper considers the discrete-time risk model with insurance risk and financial risk in ...
Consider an insurance company exposed to a stochastic economic environment that contains two kinds o...
AbstractThis paper investigates the probability of ruin within finite horizon for a discrete time ri...
This paper investigates the finite and infinite time ruin probabilities in a discrete time stochasti...
International audienceModeling insurance risks is a task that received an increasing attention becau...
This note complements a recent study in ruin theory with risky investment by establishing the same a...
In this thesis, we are interested in the asymptotic analysis of extremes and risks. The heavy-tailed...
This is the second revised version dated on June 18, 2008 This paper establishes some asymptotic res...
Recently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in whic...
This paper presents an extension of the classical compound Poisson risk model in which the inter-cla...
National audienceIn this paper, we consider a discrete-time ruin model where experience rating is ta...
This paper considered a dependent discrete-time risk model, in which the insurance risks are represe...
This paper considers a by-claim risk model with constant interest rate in which the main claim and b...
Motivated by the EU Solvency II Directive, we study the one-year ruin probability of an insurer who ...