Asymptotics for a bidimensional risk model with two geometric Lévy price processes
From MaRDI portal
Publication:2313745
Recommendations
- General theory of geometric Lévy models for dynamic asset pricing
- Geometric Lévy process \& MEMM pricing model and related estimation problems
- Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims
- Geometric ergodicity of asymmetric volatility models with stochastic parameters
- A note on Lévy risk model with two-sided phase-type jumps
- PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- scientific article; zbMATH DE number 1223766
- Rational term structure models with geometric Lévy martingales
Cites work
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- A note on a dependent risk model with constant interest rate
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Asymptotic ruin probabilities for a bidimensional renewal risk model
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Characterizations and examples of hidden regular variation
- Distributions for the risk process with a stochastic return on investments.
- Financial Modelling with Jump Processes
- Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
- Functional large deviations for multivariate regularly varying random walks
- Negative association of random variables, with applications
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- On the first time of ruin in the bivariate compound Poisson model
- On the ruin probabilities of a bidimensional perturbed risk model
- Power tailed ruin probabilities in the presence of risky investments.
- Risk theory in a stochastic economic environment
- Ruin theory with stochastic return on investments
- Some Concepts of Dependence
- Some concepts of negative dependence
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Uniform asymptotics for discounted aggregate claims in dependent risk models
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Cited in
(39)- Precise large deviations for the aggregate claims in a dependent compound renewal risk model
- Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims
- Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
- Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
- Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
- A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data
- Asymptotics for ultimate ruin probability in a by-claim risk model
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- Probability inequalities for sums of WUOD random variables and their applications
- Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
- Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
- Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
- Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
- Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
- Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
- Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
- Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
- Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
- Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
- On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
- Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
- Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
- Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
- The finite-time ruin probability of a risk model with a general counting process and stochastic return
This page was built for publication: Asymptotics for a bidimensional risk model with two geometric Lévy price processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2313745)