2 citations · 2 across the 3 of their papers we have counts for
4 papers
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…
Measuring Extreme Tail Association
Bikramjit Das, Xiangyu Liu
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric a…
Asymptotic independence in higher dimensions and its implications on risk management
Bikramjit Das, Vicky Fasen-Hartmann
In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-…
Measuring risk contagion in financial networks with CoVaR
Bikramjit Das, Vicky Fasen-Hartmann
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financia…