Tail asymptotics for the sum of two heavy-tailed dependent risks, Extremes, vol.33, issue.1, pp.107-130, 2006. ,
DOI : 10.1007/s10687-006-0011-1
A ruin model with dependence between claim sizes and claim intervals, Insurance: Mathematics and Economics, vol.35, issue.2, pp.245-254, 2004. ,
DOI : 10.1016/j.insmatheco.2003.09.009
Exponential Behavior in the Presence of Dependence in Risk Theory, Journal of Applied Probability, vol.2, issue.01, pp.257-273, 2006. ,
DOI : 10.1239/jap/996986647
Stationary distributions for fluid flow models with or without brownian noise, Communications in Statistics. Stochastic Models, vol.920, issue.1, pp.21-49, 1995. ,
DOI : 10.1080/15326349508807330
Abstract, ASTIN Bulletin, vol.25, issue.02, pp.267-281, 2002. ,
DOI : 10.2143/AST.24.2.2005068
Phase-type distributions and risk processes with statedependent premiums, Scand. Actuar. J, issue.1, pp.19-36, 1996. ,
Finite time ruin probabilities with one Laplace inversion, Insurance: Mathematics and Economics, vol.32, issue.3, pp.371-377, 2003. ,
DOI : 10.1016/S0167-6687(03)00117-3
URL : http://hdl.handle.net/10016/12752
M??etodos anal??ticos matriciales para flujos fluidos aplicados a la teor??a de la ruina ???una revisi??n, Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas (RACSAM), pp.353-372, 2009. ,
DOI : 10.1007/BF03191912
Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed, Insurance: Mathematics and Economics, vol.43, issue.3, pp.412-421, 2008. ,
DOI : 10.1016/j.insmatheco.2008.08.004
URL : https://hal.archives-ouvertes.fr/hal-00308782
Asymptotic finite-time ruin probabilities for a class of path-dependent heavy-tailed claim amounts using Poisson spacings, Applied Stochastic Models in Business and Industry, vol.46, issue.3, 2011. ,
DOI : 10.1002/asmb.857
URL : https://hal.archives-ouvertes.fr/hal-00409418
On a risk model with dependence between interclaim arrivals and claim sizes, Scandinavian Actuarial Journal, vol.9, issue.5, pp.265-285, 2006. ,
DOI : 10.1002/9780470317044
An international analysis of underwriting cycles in propertyliability insurance, Journal of Risk and Insurance, pp.246-262, 1987. ,
The costs and benefits of reinsurance . Cahiers de recherche 08-04, 2008. ,
Explicit finite-time and infinite-time ruin probabilities in the continuous case, Insurance: Mathematics and Economics, vol.24, issue.3, pp.155-172, 1999. ,
DOI : 10.1016/S0167-6687(98)00049-3
Fitting mixtures of exponentials to long-tail distributions to analyze network performance models, Proceedings of INFOCOM '97, pp.31-34, 1998. ,
DOI : 10.1109/INFCOM.1997.631130
The market for catastrophe risk: a clinical examination, Journal of Financial Economics, vol.60, issue.2-3, pp.529-571, 2001. ,
DOI : 10.1016/S0304-405X(01)00052-6
Kronecker products and matrix calculus: with applications, Chichester. Ellis Horwood Series in Mathematics and its Applications, 1981. ,
A Regime-Switching Model of Long-Term Stock Returns, North American Actuarial Journal, vol.25, issue.2, pp.41-53, 2001. ,
DOI : 10.1080/10920277.2001.10595984
A finite-time ruin probability formula for continuous claim severities, Journal of Applied Probability, vol.1, issue.02, pp.570-578, 2004. ,
DOI : 10.1080/03461238.1997.10413978
Fitting world-wide web request traces with the EM-algorithm. Performance Evaluation, pp.175-191, 2003. ,
Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables, Methodology and Computing in Applied Probability, vol.11, issue.1, pp.279-306, 2009. ,
DOI : 10.1007/s11009-007-9053-3
Modelling insurance losses and calculating risk measures via a mixture of Erlangs. Working paper, 2009. ,
Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities, Methodology and Computing in Applied Probability, vol.7, issue.3, pp.425-441, 2009. ,
DOI : 10.1007/s11009-009-9123-9
The probability of ruin in finite time with discrete claim size distribution, Scandinavian Actuarial Journal, vol.1, issue.1, pp.58-69, 1997. ,
DOI : 10.1214/aoms/1177705056
The erlangization method for Markovian fluid flows, Annals of Operations Research, vol.21, issue.23, pp.215-225, 2008. ,
DOI : 10.1007/s10479-008-0309-2
An EM-based technique for approximating long-tailed data sets with PH distributions, Performance Evaluation, vol.55, issue.1-2, pp.147-164, 2004. ,
DOI : 10.1016/S0166-5316(03)00101-9
Another look at the Picard-Lef??vre formula for finite-time ruin probabilities, Insurance: Mathematics and Economics, vol.35, issue.2, pp.187-203, 2004. ,
DOI : 10.1016/j.insmatheco.2004.07.001
Expokit: a software package for computing matrix exponentials, ACM Transactions on Mathematical Software, vol.24, issue.1, pp.130-156, 1998. ,
DOI : 10.1145/285861.285868
Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models, ASTIN Bulletin, vol.26, issue.01, pp.131-144, 2005. ,
DOI : 10.2143/AST.33.1.1036
Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter, Stochastic Models, vol.920, issue.2-3, pp.631-642, 2005. ,
DOI : 10.2143/AST.35.1.583169
A Novel Approach for Phase-Type Fitting with the EM Algorithm, IEEE Transactions on Dependable and Secure Computing, vol.3, issue.3, p.245, 2006. ,
DOI : 10.1109/TDSC.2006.27
Ratemaking Methods and Profit Cycles in Property and Liability Insurance, The Journal of Risk and Insurance, vol.52, issue.3, pp.477-500, 1985. ,
DOI : 10.2307/252782
A general model for long-tailed network traffic approximation, The Journal of Supercomputing, vol.61, issue.2, pp.155-172, 2006. ,
DOI : 10.1007/s11227-006-7944-7
Underwriting cycles: a synthesis and further directions, Astin Bull, vol.30, issue.1, pp.31-45, 2007. ,
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables, ASTIN Bulletin, vol.30, issue.2, pp.75-92, 2003. ,
DOI : 10.1007/BF01832852
Erlangian approximation to finite time ruin probabilities in perturbed risk models, Numerical Methods for Structured Markov Chains, volume 07461 of Dagstuhl Seminar Proceedings. Internationales Begegnungs-und Forschungszentrum fuer Informatik (IBFI), Schloss Dagstuhl, 2007. ,