Dependence properties and comparison results for Lévy processes
From MaRDI portal
Publication:2482691
DOI10.1007/s00186-007-0185-6zbMath1141.60023OpenAlexW2048897617MaRDI QIDQ2482691
Anja Blatter, Nicole Bäuerle, Alfred Müller
Publication date: 23 April 2008
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000013434
Lévy processesArchimedean copulaLévy copulaOption pricingDependence conceptsDependence orderingRuin times
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
Dependence properties of dynamic credit risk models ⋮ Asymptotic multivariate dominance: a financial application ⋮ Multivariate risk processes with interacting intensities ⋮ Supermodular ordering of Poisson arrays ⋮ Optimal control and dependence modeling of insurance portfolios with Lévy dynamics ⋮ On a Comparison Result for Markov Processes ⋮ Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model ⋮ On association and other forms of positive dependence for Feller processes ⋮ Association and Other Forms of Positive Dependence for Feller Evolution Systems ⋮ Unnamed Item ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Interacting particle systems. With a new postface.
- An introduction to copulas.
- Comparison of semimartingales and Lévy processes
- Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
- Interpolation, correlation identities, and inequalities for infinitely divisible variables
- Stochastic ordering and dependence in applied probability
- Association of infinitely divisible random vectors
- Risk management in credit risk portfolios with correlated assets.
- A connection between supermodular ordering and positive/negative association.
- Some remarks on the supermodular order
- On the dependence structure of certain multi-dimensional Ito processes and corresponding hitting times
- Smooth generators of integral stochastic orders.
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Supermodular comparison of time-to-ruin random vectors
- Inequalities for stochastic models via supermodular orderings
- A monotonicity result for the workload in Markov-modulated queues
- Supermodular Order and Lundberg Exponents
- Financial Modelling with Jump Processes
- Lévy Processes and Stochastic Calculus
- Ruin estimation in multivariate models with Clayton dependence structure
- Some Concepts of Dependence
- Association of Random Variables, with Applications
This page was built for publication: Dependence properties and comparison results for Lévy processes
