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Multivariate jump diffusion model with Markovian contagion
Carvalho, Pablo José Campos de; Gupta, Aparna - 2018
Persistent link: https://www.econbiz.de/10011946523
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Multivariate modelling of household claim frequencies in motor third-party liability insurance
Pechon, Florian; Trufin, Julien; Denuit, Michel - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 969-993
Persistent link: https://www.econbiz.de/10011999834
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Financial mathematics, volatility and covariance modelling
Chevallier, Julien (ed.); Goutte, Stéphane (ed.);  … - 2019
Persistent link: https://www.econbiz.de/10012002815
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Ruin probabilities in multivariate risk models with periodic common shock
Cojocaru, Ionica - In: Scandinavian actuarial journal (2017) 2, pp. 159-174
Persistent link: https://www.econbiz.de/10011772073
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Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
Hahn, Lukas - In: Insurance / Mathematics & economics 75 (2017), pp. 71-81
Persistent link: https://www.econbiz.de/10011740726
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On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
Woo, Jae-Kyung - In: Insurance / Mathematics & economics 70 (2016), pp. 354-363
Persistent link: https://www.econbiz.de/10011597325
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Alternative to large VAR, VARMA and multivariate stochastic volatility models
Tsionas, Efthymios G. - 2016
Persistent link: https://www.econbiz.de/10011581073
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Multivariate subordination of Markov processes with financial applications
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 699-747
Persistent link: https://www.econbiz.de/10011583791
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Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas
Avanzi, Benjamin; Tao, Jamie; Wong, Bernard; Yang, Xinda - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 1, pp. 87-117
Persistent link: https://www.econbiz.de/10011554307
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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