Asymptotics of Controlled Risk Processes

2007 ◽  
pp. 147-199
Author(s):  
Hanspeter Schmidli
Keyword(s):  
Risk Processes

A slack analysis framework for IT risk processes management through risk IT framework

2017 ◽  
Vol 26 (1) ◽  
pp. 1
Author(s):  
Seyed Morteza Hatefi ◽  
Abdorrahman Haeri ◽  
Mehdi Fasanghari
Keyword(s):  
Analysis Framework ◽  
Risk Processes ◽  
It Risk

scholarly journals Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance

2021 ◽  
Vol 14 (5) ◽  
pp. 202
Author(s):  
Miriam Hägele ◽  
Jaakko Lehtomaa
Keyword(s):  
Large Deviations ◽  
Risk Sharing ◽  
Dependence Structure ◽  
Large Deviations Principle ◽  
Shape Constraint ◽  
Multiple Components ◽  
Insurance Portfolio ◽  
Heavy Tailed ◽  
Tail Events ◽  
Risk Processes

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the main problems is to decide if there is any type of dependence between the components of the vector and, if so, what type of dependence structure should be used for accurate modelling. We study a class of heavy-tailed multivariate random vectors under a non-parametric shape constraint on the tail decay rate. This class contains, for instance, elliptical distributions whose tail is in the intermediate heavy-tailed regime, which includes Weibull and lognormal type tails. The study derives asymptotic approximations for tail events of random walks. Consequently, a full large deviations principle is obtained under, essentially, minimal assumptions. As an application, an optimisation method for a large class of Quota Share (QS) risk sharing schemes used in insurance and finance is obtained.

scholarly journals On optimal periodic dividend strategies for Lévy risk processes

2018 ◽  
Vol 80 ◽  
pp. 29-44 ◽  
Author(s):  
Kei Noba ◽  
José-Luis Pérez ◽  
Kazutoshi Yamazaki ◽  
Kouji Yano
Keyword(s):  
Risk Processes

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

2021 ◽  
Vol 96 ◽  
pp. 168-184
Author(s):  
Ning Wang ◽  
Nan Zhang ◽  
Zhuo Jin ◽  
Linyi Qian
Keyword(s):  
Risk Processes
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