A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization

DOI10.1080/10920277.2012.10590648zbMath1291.91128OpenAlexW2094868085MaRDI QIDQ5168698

Zhongyi Yuan, Qi-he Tang

Publication date: 19 July 2014

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2012.10590648

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Portfolio theory (91G10)

Related Items

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Randomly weighted sums of subexponential random variables with application to capital allocation ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model ⋮ Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

Uses Software

• R
• Armadillo
• RcppArmadillo
• inline

Cites Work

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