139 citations · 575 across the 36 of their papers we have counts for
4 papers · 1 filter
Exponential functionals of Levy processes and variable annuity guaranteed benefits
Runhuan Feng, Alexey Kuznetsov, Fenghao Yang
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asia…
Constructing measures with identical moments
Alexey Kuznetsov
The Nevanlinna parametrization establishes a bijection between the class of all measures having a prescribed set of moments and the class of Pick functions. The fact that all measu…
Tail dependence of the Gaussian copula revisited
Edward Furman, Alexey Kuznetsov, Jianxi Su +1
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-bein…
A direct evaluation of an integral of Ismail and Valent
Alexey Kuznetsov
We give a direct evaluation of a curious integral identity, which follows from the work of Ismail and Valent on the Nevanlinna parametrization of solutions to a certain indetermina…