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Topics in risk management for insurance and finance : ruin and dependence

Höing, Andrea (contributor) - 2005

Persistent link: https://www.econbiz.de/10003278310

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

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

Persistent link: https://www.econbiz.de/10003485805

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

Collamore, Jeffrey F.; Höing, Andrea - 2005

Persistent link: https://www.econbiz.de/10003250230

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-168

Persistent link: https://www.econbiz.de/10008215832

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

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

Persistent link: https://www.econbiz.de/10008221761

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and Stochastics 7 (2003) 2, pp. 145-167

The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on...

Persistent link: https://www.econbiz.de/10005759625