A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization

DOI10.1080/10920277.2012.10590648zbMath1291.91128MaRDI QIDQ5168698

Zhongyi Yuan, Qi-he Tang

Publication date: 19 July 2014

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2012.10590648

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G10: Portfolio theory

Related Items

Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails

Uses Software

• R
• Armadillo
• RcppArmadillo
• inline

Cites Work

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