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For the solution Y of a multivariate random recurrence model Yn=AnYn-1+[zeta]n in we investigate the extremal behaviour of the process , , for with z*=1. This extends results for positive matrices An. Moreover, we obtain explicit representations of the compound Poisson limit of point processes...
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Abstract In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk...
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We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding...
Persistent link: https://www.econbiz.de/10005374982
We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism...
Persistent link: https://www.econbiz.de/10005390704
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increment process for the low-frequency...
Persistent link: https://www.econbiz.de/10011100070
We suggest three superpositions of COGARCH (sup-CO-GARCH) volatility processes driven by Lévy processes or Lévy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding price processes are defined and studied. We find that the...
Persistent link: https://www.econbiz.de/10011194107