2 citations · 7 across the 18 of their papers we have counts for
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Multivariate Ruin in Lévy-driven Insurance Risk Models under Heavy Tails
Bikramjit Das, Vicky Fasen-Hartmann
The paper studies finite-horizon ruin for an insurance company with several lines of business admitting heavy-tailed claims. The claim amount process of the insurance company is mo…
Mixed orthogonality graphs for continuous-time state space models and orthogonal projections
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we derive (local) orthogonality graphs for the popular continuous-time state space models, including in particular multivariate continuous-time ARMA (MCARMA) process…
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
Bikramjit Das, Vicky Fasen-Hartmann
The tail behavior of aggregates of heavy-tailed random vectors is known to be determined by the so-called principle of "one large jump'', be it for finite sums, random sums, or, Lé…
Tail probabilities of random linear functions of regularly varying random vectors
Bikramjit Das, Vicky Fasen-Hartmann, Claudia Klüppelberg
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete charac…
Hidden regular variation, copula models, and the limit behavior of conditional excess risk measures
Bikramjit Das, Vicky Fasen-Hartmann
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenari…
Cointegrated Continuous-time Linear State Space and MCARMA Models
Vicky Fasen-Hartmann, Markus Scholz
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can b…