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The Annals of Applied Probability

Make an Offer. Find Rare Books Book Value. Sign up to receive offers and updates: Subscribe. All Rights Reserved. The recent increasing interplay between actuarial and financial mathematics has led to a surge in risk theoretic modeling.

ISBN 13: 9783642082429

Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications such as the modeling of operational risk losses in financial risk management, we investigate the stability of classical asymptotic ruin estimates when claims are heavy, and this under variability of the claim intensity process. Various examples are discussed.


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Source Ann. Zentralblatt MATH identifier Subjects Primary: 60E Infinitely divisible distributions; stable distributions 60G Stationary processes Secondary: 60K Applications congestion, allocation, storage, traffic, etc. Keywords Ruin probability heavy tails supremum negative drift insurance risk speed of mixing.


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  3. Modelling Extremal Events For Insurance And Finance (Stochastic Modelling And Applied Probability)?
  4. Embrechts, Paul; Samorodnitsky, Gennady.