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The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

Finite time ruin probabilities for tempered stable insurance risk processes

Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 478-489

Persistent link: https://www.econbiz.de/10010195908

The effects of largest claim and excess of loss reinsurance on a company's ruin time and valuation

Fan, Yuguang; Griffin, Philip S.; Maller, Ross A.; … - In: Risks : open access journal 5 (2017) 1, pp. 1-27

We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer’s point of view is documented in...

Persistent link: https://www.econbiz.de/10011636215

Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

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

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

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826

Persistent link: https://www.econbiz.de/10012114659

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012035248

Modelling extremal dependence for operational risk by a bipartite graph

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012495775