ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
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Publication:3393972
DOI10.1111/J.1467-9965.2009.00367.XzbMATH Open1168.91462OpenAlexW2083438033MaRDI QIDQ3393972FDOQ3393972
Authors: Laurent Denis, Ana Meda, Begoña Fernández Fernández 
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00367.x
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Cites Work
- Aspects of risk theory
- Extreme Value Theory as a Risk Management Tool
- Maximum and minimum of one-dimensional diffusions
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Extremal behavior of diffusion models in finance
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
Cited In (8)
- Risk-based premium evaluation with jump diffusion process for PBGC
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- Valuing default risk for assets value jump processes
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- Title not available (Why is that?)
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
- On the monitoring error of the supremum of a normal jump diffusion process
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