Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (Q4915657): Difference between revisions
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scientific article; zbMATH DE number 6153158
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims |
scientific article; zbMATH DE number 6153158 |
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Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (English)
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11 April 2013
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ruin probability
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heavy tail
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investment return process
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upper tail dependence
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fractional Brownian motion
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vasicek model
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Cox-Ingersoll-Ross model
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Heston model
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