5 results
5 - Extreme Value Theory
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- Book:
- Quantitative Enterprise Risk Management
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- 28 July 2022
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- 05 May 2022, pp 132-162
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Asymptotic tail behaviour of phase-type scale mixture distributions
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- Journal:
- Annals of Actuarial Science / Volume 12 / Issue 2 / September 2018
- Published online by Cambridge University Press:
- 29 August 2017, pp. 412-432
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The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
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- Journal of Applied Probability / Volume 48 / Issue 4 / December 2011
- Published online by Cambridge University Press:
- 14 July 2016, pp. 1035-1048
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- December 2011
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Maxima of stochastic processes driven by fractional Brownian motion
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- Advances in Applied Probability / Volume 37 / Issue 3 / September 2005
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- 01 July 2016, pp. 743-764
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- September 2005
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On the Distribution of the Surplus Prior and at Ruin
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 29 / Issue 2 / November 1999
- Published online by Cambridge University Press:
- 29 August 2014, pp. 227-244
- Print publication:
- November 1999
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