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math.PR2026
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…
stat.ME2026
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…