30 citations · 146 across the 34 of their papers we have counts for
5 papers · 1 filter
Convex Hulls of Lévy Processes
Ilya Molchanov, Florian Wespi
Let , , be a Lévy process in starting at the origin. We study the closed convex hull of . In particular, we provide cond…
Intragroup transfers, intragroup diversification and their risk assessment
Andreas Haier, Ilya Molchanov, Michael Schmutz
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. W…
Polar decomposition of scale-homogeneous measures with application to Lévy measures of strictly stable laws
Steven N. Evans, Ilya Molchanov
A scaling on some space is a measurable action of the group of positive real numbers. A measure on a measurable space equipped with a scaling is said to be -homogeneous for some…
Max-stable random sup-measures with comonotonic tail dependence
Ilya Molchanov, Kirstin Strokorb
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory o…
Series Representation of Time-Stable Stochastic Processes
Christoph Kopp, Ilya Molchanov
A stochastically continuous process , , is said to be time-stable if the sum of i.i.d. copies of equals in distribution to the time-scaled stochastic process…