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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

Jointly estimating jump beats

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes

Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246

Persistent link: https://www.econbiz.de/10011543918

Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010473521

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...

Persistent link: https://www.econbiz.de/10008748331

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process

Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290

Persistent link: https://www.econbiz.de/10010462111

Guaranteed stop orders as portfolio insurance : an analysis for the German stock market

Leicht, Jonathan Josef; Rathgeber, Andreas W. - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 257-278

Persistent link: https://www.econbiz.de/10010462895

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