A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization
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Publication:5168698
DOI10.1080/10920277.2012.10590648zbMath1291.91128OpenAlexW2094868085MaRDI QIDQ5168698
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Portfolio theory (91G10)
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