Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims (Q4915657)
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scientific article; zbMATH DE number 6153158
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| 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 |
Statements
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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0.8704560995101929
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0.8678422570228577
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0.8667339086532593
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0.8620481491088867
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