## Found 168 Documents (Results 1–100)

100
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### A Koopman framework for rare event simulation in stochastic differential equations. (English)Zbl 07518103

MSC:  60Hxx 65Cxx 60Jxx
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### Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims. (English)Zbl 07532943

MSC:  91B30 62E20 60G50 62-XX
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MSC:  91B05
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### Sensitivity of the stability bound for ruin probabilities to claim distributions. (English)Zbl 1437.91459

MSC:  91G70 91G05 62G32
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### Random matrix theory for heavy-tailed time series. (English)Zbl 1416.15029

MSC:  15B52 60B20
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### Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions. (English)Zbl 1418.60010

MSC:  60E10 41A60
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MSC:  91B30
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### Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift. (English)Zbl 1403.60038

MSC:  60G51 60K25
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### The impact of insurance premium taxation. (English)Zbl 1416.91169

MSC:  91B30 91B64
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### Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk. (English)Zbl 1393.91100

MSC:  91B30 60K10 60G50 62P05
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### The finite-time ruin probability for an inhomogeneous renewal risk model. (English)Zbl 1369.91078

MSC:  91B30 60K05
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### Calculation of ruin probabilities for a dense class of heavy tailed distributions. (English)Zbl 1401.62204

MSC:  62P05 91B30 62G32 60K05 62E10 62G07
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MSC:  91B30
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### A Lundberg-type inequality for an inhomogeneous renewal risk model. (English)Zbl 1414.91157

MSC:  91B30 60K10 60G50
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### Quality of the approximation of ruin probabilities regarding to large claims. (English)Zbl 1337.91045

Thi, Hoai An Le (ed.) et al., Advanced computational methods for knowledge engineering. Proceedings of 3rd international conference on computer science, applied mathematics and applications – ICCSAMA 2015. Extended versions of papers, Metz, France, May 11–13, 2015. Cham: Springer (ISBN 978-3-319-17995-7/pbk; 978-3-319-17996-4/ebook). Advances in Intelligent Systems and Computing 358, 119-126 (2015).
MSC:  91B30 65C20
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### Phantom distribution functions for some stationary sequences. (English)Zbl 1337.60049

MSC:  60G10 60G70 60F99
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### A new class of large claim size distributions: definition, properties, and ruin theory. (English)Zbl 1362.60007

MSC:  60E05 60E07 60G70
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### On the accuracy of phase-type approximations of heavy-tailed risk models. (English)Zbl 1401.62215

MSC:  62P05 91B30 62M15 62G32 62E15
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### On semiparametric estimation of ruin probabilities in the classical risk model. (English)Zbl 1401.62212

MSC:  62P05 62F40 62F12 91B30
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### Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation. (English)Zbl 1325.62012

MSC:  62-07 62E10 62N01 91B30
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### A survey of some recent results on risk theory. (English)Zbl 1338.62186

MSC:  62P05 91B30 62-02
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### A note on Gerber-Shiu functions with an application. (English)Zbl 1411.91315

Silvestrov, Dmitrii (ed.) et al., Modern problems in insurance mathematics. Selected papers based on the presentations at the international Cramér symposium on insurance mathematics, ICSIM, Stockholm, Sweden, June 11–14, 2013. Cham: Springer. EAA Series, 21-36 (2014).
MSC:  91B30 60K10 44A10
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### Tail behavior of supremum of a random walk when Cramér’s condition fails. (English)Zbl 1322.60053

MSC:  60G50 60F99 60K05 60E05 91B30
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### Exact tail asymptotics of a tandem queue with LRD service times. (English)Zbl 1305.90128

MSC:  90B22 60K25
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### Exact tail asymptotics of a queue with LRD input traffic. (English)Zbl 1305.60096

MSC:  60K25 90B22
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### Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis. (English)Zbl 1304.60099

MSC:  60K10 91B30 60G70
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### On an asymptotic rule $$A+B/u$$ for ultimate ruin probabilities under dependence by mixing. (English)Zbl 1290.91084

MSC:  91B30 62P05 62H05
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### Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims. (English)Zbl 1290.91107

MSC:  91B30 60G55 60F10
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### Stochastic volatility models with possible extremal clustering. (English)Zbl 1286.91144

MSC:  91G30 60G55 91B70
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### Tail probability of the supremum of a random walk with stable steps and a nonlinear negative drift. (English)Zbl 1281.60046

MSC:  60G52 60G10
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### Precise large deviations for dependent regularly varying sequences. (English)Zbl 1276.60029

MSC:  60F10 60J05 60G70
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### Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. (English)Zbl 1283.60043

Reviewer: Chun Su (Hefei)
MSC:  60F10 91B30 60G70
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### Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims. (English)Zbl 1284.91251

MSC:  91B30 60K10 60G70 60G50
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### Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases. (English)Zbl 1284.62119

MSC:  62E20 60G51 91B30
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### Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks. (English)Zbl 1248.65016

MSC:  65C50 60F05 60F17 60G50 65C05
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### Risk measures and multivariate extensions of Breiman’s theorem. (English)Zbl 1246.91060

MSC:  91B30 62P05
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### How to measure the accuracy of the subexponential approximation for the stationary single server queue. (English)Zbl 1275.60083

MSC:  60K25 60F10
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MSC:  91B30
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### Estimates for the tail probability of the supremum of a random walk with independent increments. (English)Zbl 1260.60087

MSC:  60G50 60F99 60E05
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### Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion. (English)Zbl 1242.91090

MSC:  91B30 60K10 60K05
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### Extremal subexponentiality in ruin probabilities. (English)Zbl 1227.62090

MSC:  62P05 91B30 62E20 91B70 62G32
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### Uniform estimates for the finite-time ruin probability in the dependent renewal risk model. (English)Zbl 1229.91169

MSC:  91B30 91B70 60K10
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### Uniform approximations for the $$M/G/1$$ queue with subexponential processing times. (English)Zbl 1242.60095

MSC:  60K25 68M20 60F10
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### Ratio monotonicity for tail probabilities in the renewal risk model. (English)Zbl 1216.60056

MSC:  60K10 60E15
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### Random walks with non-convolution equivalent increments and their applications. (English)Zbl 1214.60016

MSC:  60G50 60E05 60E07
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### Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence. (English)Zbl 1231.91243

MSC:  91B30 60K05 62E20
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### Nonparametric statistical analysis of an upper bound of the ruin probability under large claims. (English)Zbl 1226.91023

MSC:  91B30 62G08 62G20 62G32
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### Asymptotics of discounted aggregate claims for renewal risk model with risky investment. (English)Zbl 1237.62153

MSC:  62P05 91B30 60K10
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### Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. (English)Zbl 1224.91038

MSC:  91B30 62P05
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### On asymptotics of deficit distribution and its moments at the time of ruin. (English)Zbl 1203.91109

MSC:  91B30 60G50 60F10
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### Local subexponentiality and self-decomposability. (English)Zbl 1215.60014

MSC:  60E07 60G50
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### Tandem queues with subexponential service times and finite buffers. (English)Zbl 1205.60159

MSC:  60K25 90B22 68M20
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### The probabilities of absolute ruin in the renewal risk model with constant force of interest. (English)Zbl 1194.91094

MSC:  91B30 60G70 60K05
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### Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation. (English)Zbl 1192.91111

MSC:  91B30 60G55
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### An asymptotic expansion for the tail of compound sums of Burr distributed random variables. (English)Zbl 1185.62039

MSC:  62E20 44A10
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### Lundberg-type bounds and asymptotics for the moments of the time to ruin. (English)Zbl 1185.91093

MSC:  91B30 60K10 60K05
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MSC:  91B30
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MSC:  91B30
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### Asymptotic behaviour of the finite-time ruin probability in renewal risk models. (English)Zbl 1224.91070

MSC:  91B30 60K20
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MSC:  91B30
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### Computing ruin probability in the classical risk model. (English. Russian original)Zbl 1182.91096

Autom. Remote Control 70, No. 12, 2109-2115 (2009); translation from Avtom. Telemekh. 2009, No. 12, 187-194 (2009).
MSC:  91B30 91B70
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MSC:  90B22
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### Asymptotic results for heavy-tailed distributions using defective renewal equations. (English)Zbl 1157.62030

MSC:  62G32 60K05 62G20 62P05 91B30
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### Nonparametric estimation of ruin probabilities given a random sample of claims. (English)Zbl 1282.62080

MSC:  62G05 91B30
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MSC:  60G40
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### Asymptotics for solutions of a defective renewal equation with applications. (English)Zbl 1156.60071

MSC:  60K05 60K30 60K10
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MSC:  91B30
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### Convolution equivalence and distributions of random sums. (English)Zbl 1146.60014

MSC:  60E07 60G50 60G51
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### Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities. (English)Zbl 1149.91037

MSC:  91B30 60G70 62P05
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### A local asymptotic behavior for ruin probability in the renewal risk model. (English)Zbl 1174.91503

MSC:  91B30 62P05
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### A general class of closed fork and join queues with subexponential service times. (English)Zbl 1153.60391

MSC:  60K25 90B22 90B18
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### Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows. (English)Zbl 1150.60024

MSC:  60G52 62P05
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### A wide class of heavy-tailed distributions and its applications. (English)Zbl 1131.62011

MSC:  62E10 62G32 91B30 62P05
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### Tail asymptotics of the supremum of a regenerative progress. (English)Zbl 1139.60014

MSC:  60F10 60K25 62P05
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### The joint density of the surplus before and after ruin in the Sparre Andersen model. (English)Zbl 1132.60061

MSC:  60K10 91B30 60K05
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MSC:  60G50
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### Discrete and continuous time modulated random walks with heavy-tailed increments. (English)Zbl 1131.60040

MSC:  60G51 60G50
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### Ruin probability with certain stationary stable claims generated by conservative flows. (English)Zbl 1132.60043

MSC:  60G52 62P05
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### Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes. (English)Zbl 1183.91073

MSC:  91B30 60K05 60K10
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### On the Gerber-Shiu discounted penalty function for subexponential claims. (English)Zbl 1131.60080

Lith. Math. J. 46, No. 4, 487-493 (2006); and Liet. Mat. Rink. 46, No. 4, 598-605 (2006).
MSC:  60K10 60K05 91B30
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### On calculation of moments of ladder heights. (English. Russian original)Zbl 1138.60319

Lith. Math. J. 46, No. 2, 129-145 (2006); translation from Liet. Mat. Rink. 46, No. 2, 159-179 (2006).
MSC:  60G50
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### A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions. (English)Zbl 1142.91581

MSC:  91B30 60G55 60K10 60K05
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### Nonexponential asymptotics for the solutions of renewal equations, with applications. (English)Zbl 1125.60090

MSC:  60K05 60K10 60K30
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MSC:  60K25
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### Tail asymptotics of the $$n$$th convolution of super-exponential distributions. (English)Zbl 1090.60018

MSC:  60E99 60F10
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### Sensitivity analysis on ruin probabilities with heavy-tailed claims. (English)Zbl 1248.60104

MSC:  60K30 60K25
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### Ruin estimation in multivariate models with Clayton dependence structure. (English)Zbl 1145.91031

MSC:  91B30 60G40
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### Second order behaviour of ruin probabilities in the case of large claims. (English)Zbl 1120.62091

MSC:  62P05 91B30
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### The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk. (English)Zbl 1083.60036

MSC:  60G50 60J10 60K25
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### A nonparametric sequential test with power 1 for the ruin probability in some risk models. (English)Zbl 1065.62142

MSC:  62L10 62G10 62P05 91B30
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### The ruin probability of a discrete time risk model under constant interest rate with heavy tails. (English)Zbl 1142.62094

MSC:  62P05 91B30 62E20
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