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Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197

Persistent link: https://www.econbiz.de/10011944136

On the occupation times in a delayed Sparre Andersen risk model with exponential claims

Jin, Can; Li, Shuanming; Wu, Xueyuan - In: Insurance / Mathematics & economics 71 (2016), pp. 304-316

Persistent link: https://www.econbiz.de/10011630855

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027

Pricing and hedging of variable annuities with state-dependent fees

Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33

Persistent link: https://www.econbiz.de/10010437640

Systemic risk modeling with Lévy copulas

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...

Persistent link: https://www.econbiz.de/10012588056

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

Approximate indifference pricing in exponential Lévy models

Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235

Persistent link: https://www.econbiz.de/10011704228