Parisian types of ruin probabilities for a class of dependent risk-reserve processes-Reference-Cited by-同舟云学术

Parisian types of ruin probabilities for a class of dependent risk-reserve processes

Published:2018-06-29 Issue:1 Volume:2019 Page:32-61
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Bladt Mogens¹,Nielsen Bo Friis²,Peralta Oscar²

Affiliation:

1. Department of Mathematical Sciences, University of Copenhagen, Copenhagen, Denmark

2. DTU COMPUTE, Department of Applied Mathematics and Computer Science, Technical University of Denmark, Lyngby, Denmark

Funder

Mexican Government

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2018.1483420

Reference36 articles.

1. A ruin model with dependence between claim sizes and claim intervals

2. On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

3. Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations

4. Stationary distributions for fluid flow models with or without brownian noise

5. Asmussen, S. (1995). Stationary distributions via first passage times. In Advances in queueing: theory, methods, and open problems. Ed: J. H. Dshalalow. Boca Raton: CRC Press. p. 79–102.

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