Department of Mathematical Sciences > Research > Mathematical and Statistical Methods in Insurance and Economics > working papers
| 2006 |
218 December 2006/May 2007
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment by Jeffrey F. Collamore, to appear in Ann. Appl. Probab. |
| 217 November 2006 A Digitalized Employee Option by B. Jensen and Jesper L. Pedersen |
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| 216 July 2006 Regularly varying functions by Anders Hedegaard Jessen and Thomas Mikosch [Publ. Inst. Math., Nouvelle Série, 80(94, 171-192)] |
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215 May 2006
Extreme Value-Theory for Space-Time Processes with Heavy-Tailed Distributions by Thomas Mikosch and Richard A Davis. |
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| 214 May 2006 Tail Probabilities for Regression Estimators by Thomas Mikosch and Casper G. De Vries. |
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| 213 May 2006. Scaling Limits for Workload Process. by Thomas Mikosch and Gennady Samorodnitsky |
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| 212 March 2006. Worst Case Portfolio Optimization and HJB-Systemsf by Mogens Steffensen and Ralf Korn. To appear in SIAM journal on Control and Optimization |
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| 211 March 2006. A Two-Account Model of Pension Saving Contracts by Mogens Steffensen and Stephan Waldstrøm. |
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| 210 January 2006. Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach by Mogens Steffensen and Holger Kraft. |
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| 2005 | 209 November 2005. Copulas:Tales and Facts[Extremes 9, 3-20 and 55-62] by Thomas Mikosch. |
| 208 November 2005. Modeling Teletraffic Arrivals by a Poisson Cluster Process. by Gilles Fäy, Bárbera González-Arávalo, Thomas Mikosch and Gennady Samorodnitsky. [Questea 54, 121-140] |
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| 207November 2005. A Discrete-Time Model for Reinvestment Risk in Bond Markets by Mikke Dahl. |
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| 206 May 2005. A Continuous-Time Model for Reinvestment Risk in Bond by Mikkel Dahl. |
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| 205 May 2005. Small-time ruin for a financial process modulated by a Harris recurrent Markov chain by Jeffrey F. Collamore and Andrea Höing [Finance Stoch. 11, 299-322 (2007)] |
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| 204 May 2005. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach by Holger Kraft and Mogens Steffensen. To appear in Economic Dynamics and Control, doi: 10. 1018/j.jedc. 2007.02.001 |
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| 203 March 2005. Valuation and Hedging of Life Insurance Liabilities with Systematic Mortality Risk by Mikkel Dahl and Thomas Møller. |
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| 202 January 2005. Stock market risk-return inference. An unconditional non-parametric approach by Thomas Mikosch and Catalin Starica |
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| 2004 | 201 December 2004. Utility Maximization and Risk Minimization in Life and Pension Insurance by Peter Holm Nielsen. |
| 200 December 2004. Fair Distribution of Assets in Life Insurance by Mikkel Dahl. |
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| 199 December 2004. Functional Large Deviations for Multivariate Regularly Varying Random Walks by Henrik Hult, Filip Lindskog, Thomas Mikosch and Gennady Samorodnitsky [Ann. Appl. Probab. 15, 2005, no. 4, 2651--2680.] |
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| 198 September 2004. Activity rates with very heavy tails by Thomas Mikosch andSidney Recnick. [Stoch. Proc. Appl. 116,131-155 ] |
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| 197 September 2004. A note on the free policy reserveby Mogens Steffensen. [Blätter der DGVFM, Band 27, heft 2, 185-198] |
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| 196 August 2004. How to model multivariate extremes if one must. by Thomas Mikosch. [Statist. Neerlandica 59, 2005, no. 3, 324--338] |
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| 195 March 2004. On optimal investment and subexponential claims by Hanspeter Schmidli. [Insurance: Mathematics and Economics 36, 2005, no. 1, 25--35.] |
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| 194 February 2004. Surplus-linked Life Insurance by Mogens Steffensen. [ Scand. Actuar. J. 2006, no. 1, 1--22] |
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| 193 February 2004. On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance by Hanspeter Schmidli. |
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| 192 January 2004. Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy tailed innovations by Dimitrios G. Konstantinides and Thomas Mikosch. [Ann. Probab. 33, 2005, no. 5, 1992--2035] |
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| 2003 | 191 December 2003. Optimal bonus strategies in life insurance: The Markov chain interest rate case by Peter Holm Nielsen. |
| 190 December 2003. Quadratic optimization of life insurance payment and Pension Insurance Payments by Mogens Steffensen. [Astin Bulletin 36, 2006, no. 1, 245--267] |
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| 189 November 2003. Stable limits of martingale transforms with application to the estimation of Garch parameters by Thomas Mikosch and Daniel Straumann. [Ann. Statist. 34, 493-522] |
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| 188 September 2003. On the maximisation of the adjustment coefficient under proportional reinsurance by by Morten Hald and Hanspeter Schmidli . [ASTIN Bull. 34, 2004, no. 1, 75--83] |
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| 187 September 2003. Modelling PCS options via individual indices by Hanspeter Schmidli. |
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| 186 March 2003. Asymptotics of ruin probabilities for controlled risk processes in the small claims case . by Christian Hipp and Hanspeter Schmidli . [Scand. Actuarial J., 2004, no. 5, 321--335] |
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| 185 March 2003. Stochastic Mortality in Life Insurance: Market Reserves and Mortality-Linked Insurance Contracts. by Mikkel Hindkær Dahl . [Insurance: Mathematics and Economics 35, 2004, no. 1, 113--136] |
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| 184 January 2003. Quasi-Maximum-Likelihood Estimation in Heteroscedastic Time Series: a Stochastic Recurrence Equations Approach by Daniel Straumann and Thomas Mikosch. [Ann. statist. 34, 2449-2495] |
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| 2002 | 183 December 2002. On Merton's problem for Life Insurers by Mogens Steffensen. [ Astin Bull. 34, 2004, no. 1, 5--25] |
| 182 November 2002. On valuation and risk management at the interface of insurance and finance by Thomas Møller. |
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| 181 November 2002. Modeling dependence and tails of financial time series by Thomas Mikosch. [Bärbel Finkenstadt und Holger Rootzén (Eds.) 2003 Extreme Value Theory and Applications. Chapman and Hall, London.] |
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| 180 October 2002. Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies: The small claim case by Hanspeter Schmidli. |
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| 179 October 2002. Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies: The small claim case by Hanspeter Schmidli. [ Queueing Syst. 46, 2004, no. 1-2, 149--157] |
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| 178 May 2002. Stability bounds for ruin probabilities in a Markov modulated risk model with investments.ps file only by Deimante Rusaityte. |
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| 2001 | 177 November 2001. Intervention options in life and pension insurance by Mogens Steffensen. [ Insurance Math. Econ. 31, 2002.] |
| 176 October 2001. Risk processes conditioned on ruin by .ps file only by Hanspeter Schmidli. |
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| 175 May 2001. On minimising the ruin probability by investment and reinsurance by Hanspeter Schmidli. [Ann. Appl. Probab. 12, 2002,no. 3, 890--907] |
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| 174 May 2001. Regular variation in the mean and stable limits for poisson shot noise by Claudia Klüppelberg,Thomas Mikosch and Anette Schärf. [Bernoulli 9, 2003, no. 3, 467--496.] |
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| 173 May 2001. Whittle estimation in a heavy-tailed GARCH(1,1) model by Thomas Mikosch and Daniel Straumann. [Stoch. Proc. Appl. 100, 2002] |
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| 172 May 2001. Continuity of the ruin probability in a model with borrowing.ps file only by Deimante Rusaityte. |
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| 171 March 2001. Indifference pricing of insurance contracts: Applications by Thomas Møller. [Insurance: Mathematics and Economics 32, 2003.] |
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| 170 February 2001. Indifference pricing of insurance contracts: Theory by Thomas Møller. [Finance and Stochastics 7, 2003.] |
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| 169 January 2001. A characterization of multivariate regular variation by Bojan Basrak, Richard A. Davis and Thomas Mikosch. [Ann. Appl. Probab. 12, 2002.] |
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| 168 January 2001. Regular variation of GARCH processes by Bojan Basrak, Richard A. Davis and Thomas Mikosch. [ Stoch. Proc. Appl. 99, 2002.] |
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| 167 January 2001. Poisson limits for U-statistics by André R. Dabrowski, Herold G. Dehling, Thomas Mikosch and Olimjon Sharipov. [Published in Stoch. Proc. Appl. 99, 2002.] |
