Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
暂无分享,去创建一个
[1] Alexander J. McNeil,et al. Multivariate Archimedean copulas, $d$-monotone functions and $\ell_1$-norm symmetric distributions , 2009, 0908.3750.
[2] Z. Palmowski,et al. Cramér asymptotics for finite time first passage probabilities of general Lévy processes , 2009 .
[3] A. Blatter. Optimal control and dependence modeling of portfolios with Lévy dynamics , 2009 .
[4] Florin Avram,et al. Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results. , 2008, 0802.4060.
[5] Alfred Müller,et al. Dependence properties and comparison results for Lévy processes , 2008, Math. Methods Oper. Res..
[6] Qihe Tang,et al. On the ruin probabilities of a bidimensional perturbed risk model , 2007 .
[7] Florin Avram,et al. A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman- Kac formula, Laplace transform and its inversion , 2007, 0711.2465.
[8] P. Tankov,et al. Characterization of dependence of multidimensional Lévy processes using Lévy copulas , 2006 .
[9] A. Kyprianou. Introductory Lectures on Fluctuations of Lévy Processes with Applications , 2006 .
[10] On extreme ruinous behaviour of Lévy insurance risk processes , 2006, Journal of Applied Probability.
[11] Junyi Guo,et al. On the first time of ruin in the bivariate compound Poisson model , 2006 .
[12] Henrik Hult,et al. Heavy-tailed insurance portfolios : buffer capital and ruin probabilities , 2006 .
[13] Nicole Bäuerle,et al. Multivariate Counting Processes: Copulas and Beyond , 2005, ASTIN Bulletin.
[14] Claudia Klüppelberg,et al. Ruin estimation in multivariate models with Clayton dependence structure , 2005 .
[15] Jun Cai,et al. Multivariate risk model of phase type , 2005 .
[16] Dietmar Pfeifer,et al. Modeling and Generating Dependent Risk Processes for IRM and DFA , 2004, ASTIN Bulletin.
[17] A. Kyprianou,et al. Ruin probabilities and overshoots for general Lévy insurance risk processes , 2004, math/0503539.
[18] R. Cont,et al. Financial Modelling with Jump Processes , 2003 .
[19] A. McNeil,et al. Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling , 2003, ASTIN Bulletin.
[20] W. Chan,et al. Some results on ruin probabilities in a two-dimensional risk model , 2003 .
[21] W. Schoutens. Lévy Processes in Finance: Pricing Financial Derivatives , 2003 .
[22] W. Schoutens,et al. A risk model driven by Lévy processes , 2003 .
[23] Harvey E. Lapan,et al. The Use of Archimedean Copulas to Model Portfolio Allocations , 2002 .
[24] Jeffrey F. Collamore. Importance Sampling Techniques for the Multidimensional Ruin Problem for General Markov Additive Sequences of Random Vectors , 2002 .
[25] O. Barndorff-Nielsen,et al. Lévy processes : theory and applications , 2001 .
[26] Jeffrey F. Collamore. Hitting probabilities and large deviations , 1996 .
[27] Sid Browne,et al. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin , 1995, Math. Oper. Res..
[28] F. Dufresne,et al. Risk Theory with the Gamma Process , 1991, ASTIN Bulletin.