Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference
for researchers and practitioners of insurance mathematics. Building on recent and rapid …

This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a
nonstandard risk model with a constant interest rate, in which both claim sizes and inter …

We survey the properties and uses of the class of subexponential probability distributions,
paying particular attention to their use in modelling heavy-tailed data such as occurs in …

Consider a reflected random walk $ W_ {n+ 1}=(W_n+ X_n)^+ $, where $ X_0, X_1,\dots $
are iid with negative mean and subexponential with common distribution F. It is shown that …

Consider a continuous-time renewal risk model with a constant force of interest. We assume
that claim sizes and interarrival times correspondingly form a sequence of independent and …

This paper studies the ruin probabilities in a homogeneous continuous compound Poisson
risk model which is adapted for the perturbed insurance risk model with standard Brownian …

This paper studies rare events simulation for the heavy-tailed case, where some of the
underlying distributions fail to have the exponential moments required for the standard …

This paper investigates the finite-and infinite-time ruin probabilities in a discrete-time
stochastic economic environment. Under the assumption that the insurance risk-the total net …

This survey treats the problem of ruin in a risk model when assets earn investment income.
In addition to a general presentation of the problem, topics covered are a presentation of the …

For a dependent risk model with constant interest rate, in which the claim sizes form a
sequence of upper tail asymptotically independent and identically distributed random …