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Ruin probabilities under general investments and heavy-tailed claims

Hult, Henrik; Lindskog, Filip - In: Finance and Stochastics 15 (2011) 2, pp. 243-265

Persistent link: https://www.econbiz.de/10009149757

The large-maturity smile for the Heston model

Forde, Martin; Jacquier, Antoine - In: Finance and Stochastics 15 (2011) 4, pp. 755-780

Persistent link: https://www.econbiz.de/10009400214

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

Collamore, Jeffrey; Höing, Andrea - In: Finance and Stochastics 11 (2007) 3, pp. 299-322

Persistent link: https://www.econbiz.de/10005390688

A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Hata, Hiroaki; Iida, Yasunari - In: Finance and Stochastics 10 (2006) 3, pp. 395-426

Persistent link: https://www.econbiz.de/10005390698

Large portfolio losses

Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and Stochastics 8 (2004) 1, pp. 3-16

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

Persistent link: https://www.econbiz.de/10005184380

Optimal importance sampling with explicit formulas in continuous time

Guasoni, Paolo; Robertson, Scott - In: Finance and Stochastics 12 (2008) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10005613400