Autoregressive series with random parameters, Math. Operationsforsch. Statist, vol.7, issue.5, pp.735-741, 1976. ,
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case, 48A(New frontiers in applied probability: a Festschrift for Søren Asmussen, pp.15-28, 2011. ,
Self-similar processes as weak limits of a risk reserve process, Acta Univ. Wratislav. No, vol.20, issue.2, pp.261-272, 2000. ,
Exponential functionals of Lévy processes, Lévy processes, pp.41-55, 2001. ,
Financial modelling with jump processes, Chapman & Hall/CRC Financial Mathematics Series, 2004. ,
URL : https://hal.archives-ouvertes.fr/hal-00002693
Option pricing: A simplified approach, Journal of Financial Economics, vol.7, issue.3, pp.229-263, 1979. ,
Weak convergence of an autoregressive process used in modeling population growth, J. Appl. Probab, vol.19, issue.2, pp.450-455, 1982. ,
Embedding a stochastic difference equation into a continuous-time process, Stochastic Process. Appl, vol.32, issue.2, pp.225-235, 1989. ,
From discrete-to continuous-time finance: Weak convergence of the financial gain process, Mathematical Finance, vol.2, issue.1, pp.1-15, 1992. ,
Weak convergence of random growth processes with applications to insurance, Insurance Math. Econom, vol.8, issue.3, pp.187-201, 1989. ,
Modelling extremal events, for insurance and finance, Applications of Mathematics, vol.33, 1997. ,
Stable Lévy motion approximation in collective risk theory, Insurance Math. Econom, vol.20, issue.2, pp.97-114, 1997. ,
A class of approximations of ruin probabilities, Scand. Actuar. J, pp.37-52, 1977. ,
Ruin problems with compounding assets, Stochastic Processes Appl, vol.5, issue.1, pp.67-79, 1977. ,
Ordinary differential equations, Classics in Applied Mathematics. Society for Industrial and Applied Mathematics (SIAM), vol.38, 2002. ,
Diffusion approximations in collective risk theory, J. Appl. Probability, vol.6, pp.285-292, 1969. ,
Limit Theorems for Stochastic Processes, 2003. ,
Convergence en loi des suites d'intégrales stochastiques sur l'espace D 1 de Skorokhod. Probab. Theory Related Fields, vol.81, pp.111-137, 1989. ,
Condition UT et stabilité en loi des solutions d'équations différentielles stochastiques, Séminaire de Probabilités, XXV, vol.1485, pp.162-177, 1991. ,
Random coefficient autoregressive models: an introduction, Lecture Notes in Statistics, vol.11, 1982. ,
, The Malliavin calculus and related topics. Probability and its Applications, 2006.
On the ruin probabilities in a general economic environment, Stochastic Process. Appl, vol.83, issue.2, pp.319-330, 1999. ,
Finite and infinite time ruin probabilities in a stochastic economic environment, Stochastic Process. Appl, vol.92, issue.2, pp.265-285, 2001. ,
On stochastic difference equations in insurance ruin theory, J. Difference Equ. Appl, vol.18, issue.8, pp.1345-1353, 2012. ,
Risk theory in a stochastic economic environment, Stochastic Process. Appl, vol.46, issue.2, pp.327-361, 1993. ,
Sharp conditions for certain ruin in a risk process with stochastic return on investments, Stochastic Process. Appl, vol.75, issue.1, pp.135-148, 1998. ,
Ruin models with investment income, Probab. Surv, vol.5, pp.416-434, 2008. ,
Ruin theory with stochastic return on investments, Adv. in Appl. Probab, vol.29, issue.4, pp.965-985, 1997. ,
Stochastic integration and differential equations, Stochastic Modelling and Applied Probability, vol.21, 2005. ,
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks, Stochastic Process. Appl, vol.108, issue.2, pp.299-325, 2003. ,
Chance and stability, Stable distributions and their applications. Modern Probability and Statistics, VSP, 1999. ,
On a stochastic difference equation and a representation of nonnegative infinitely divisible random variables, Adv. in Appl. Probab, vol.11, issue.4, pp.750-783, 1979. ,