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math.PR2019
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…
math.PR2018
Ruin probabilities for risk processes in a bipartite network
Anita Behme, Claudia Klüppelberg, Gesine Reinert
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk proces…
math.PR2011
On the Ruin Probability of the Generalised Ornstein-Uhlenbeck Process in the Cramér Case
Damien Bankowski, Claudia Klüppelberg, Ross Maller
For a bivariate \Levy process and initial value define the Generalised Ornstein-Uhlenbeck (GOU) process \[ V_t:=e^{ξ_t}\Big(V_0+\int_0^t e^{-ξ_{s-}}\ud η…