Search Results - subject:"Multivariate regular variation"

Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation

Biard, Romain - HAL - 2013

In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital...

Persistent link: https://www.econbiz.de/10010820953

Conditional risk measures in a bipartite market structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Scandinavian actuarial journal (2018) 4, pp. 328-355

Persistent link: https://www.econbiz.de/10011881106

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Risk in large claims insurance market with bipartite graph structure

Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176

Persistent link: https://www.econbiz.de/10011594678

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204

Persistent link: https://www.econbiz.de/10011630650

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44

Persistent link: https://www.econbiz.de/10011530921

Optimal capital allocation based on the Tail Mean–Variance model

Xu, Maochao; Mao, Tiantian - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 533-543

. Moreover, we give asymptotic allocation formulas for multivariate regular variation variables. Various numerical examples are …

Persistent link: https://www.econbiz.de/10010719107

Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration

Fasen, Vicky - In: Journal of Econometrics 172 (2013) 2, pp. 325-337

on multivariate regular variation of products of random vectors and central limit theorems. Furthermore, we embed this …

Persistent link: https://www.econbiz.de/10010608472

Optimal capital allocation based on the Tail Mean-Variance model

Xu, Maochao; Mao, Tiantian - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 533-543

Persistent link: https://www.econbiz.de/10010227966

Ordering of multivariate risk models with respect to extreme portfolio losses

Mainik, Georg; Rüschendorf, Ludger - In: Statistics & Risk Modeling 29 (2012) 1, pp. 73-106

with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are …

Persistent link: https://www.econbiz.de/10014622220