Bazyari, A. and Roozegar, R. (2019). Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model. Communications in Statistics-Theory and Methods, 48(5):1284–1304.
Bazyari, A. (2024). Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function. Lobachevskii Journal of Mathematics, 45(9):4034–4049.
Bazyari, A. (2025). Probability inequalities and risk assessment in a perturbed generalized risk model. Accepted for Publication in Lobachevskii Journal of Mathematics.
Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3):637–654.
Bingham, N.H., Goldie, C.M. and Teugels, J.L. (1987). Regular Variation. Cambridge: Cambridge University Press.
Brigo, D. and Mercurio, F. (2001). Interest Rate Models-Theory and Practice. Berlin: Springer.
Chen, Y. and Liu, J. (2022). An asymptotic study of systemic expected shortfall and marginal expected shortfall. Insurance: Mathematics and Economics, 105:238–251.
Cheng, M. and Wang, D. (2023). Uniform asymptotic estimate for the ruin probability in a renewal risk model with Cox-Ingersoll-Ross returns. Mathematics, 11(5):1225.
Dragulescu, A.A. and Yakovenko, V.M. (2002). Probability distribution of returns in the Heston model with stochastic volatility. Quantitative Finance, 2(6):443–453.
Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance. Berlin: Springer-Verlag.
Foss, S., Korshunov, D. and Zachary, S. (2013). An Introduction to Heavy-tailed and Subexponential Distributions. Springer Series in Operations Research and Financial Engineering, New York: Springer.
Geluk, J. and Tang, Q. (2009). Asymptotic tail probabilities of sums of dependent subexponential random variables. Journal of Theoretical Probability, 22(4):871–882.
Guo, F. (2022). Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors. Applied Mathematics and Computation, 413:126634.
Guo, F. and Wang, D. (2013). Finite and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims. Advances in Applied Probability, 45(1):241–273.
Hao, X. and Tang, Q. (2012). Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments. Journal of Applied Probability, 49(4):939–953.
Heston, S.L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327–344.
Li, J. (2012). Asymptotics in a time-dependent renewal risk model with stochastic return. Journal of Mathematical Analysis and Applications, 387(2):1009–1023.
Li, J. (2013). On pairwise quasi-asymptotically independent random variables and their applications. Statistics and Probability Letters, 83(9):2081–2087.
Li, J. (2016). Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. Insurance: Mathematics and Economics, 71:195–204.
Nelsen, R.B. (2006). An Introduction to Copulas. New York: Springer.
Resnick, S.I. (1987). Extreme Values, Regular Variation, and Point Processes. New York: Springer.
Tang, Q., Wang, G. and Yuen, K.C. (2010). Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Insurance: Mathematics and Economics, 46(2):362–370.
Wang, D. and Tang, Q. (2006). Tail probabilities of randomly weighted sums of random variables with dominated variation. Stochastic Models, 22(2):253–272.
Wang, K., Wang, Y. and Gao, Q. (2013). Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate. Methodology and Computing in Applied Probability, 15(1):109–124.
Wang, K., Chen, L., Yang, Y. and Gao, M. (2018). The finite-time ruin probability of risk model with stochastic return and Brownian perturbation. Japan Journal of Industrial and Applied Mathematics, 35(3):1173–1189.
Yang, H. and Li, J. (2019). On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims. Statistics and Probability Letters, 149(4):153–159.
Yang, Y., Leipus, R., Šiaulys, J. and Cang, Y. (2011). Uniform estimates for the infinite-time ruin probability in the dependent renewal risk model. Journal of Mathematical Analysis and Applications, 383(1):215–225.
Yang, Y., Wang, K. and Konstantinides, D.G. (2014). Uniform asymptotics for discounted aggregate claims in dependent risk models. Journal of Applied Probability, 51(3):669–684.
Yang, Y., Fan, Y. and Yuen, K.C. (2023). Ruin in a continuous-time risk model with arbitrary dependent insurance and financial risks triggered by systematic factors. Scandinavian Actuarial Journal, 2024(4):361–382.
)