121 citations · 331 across the 43 of their papers we have counts for
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A note on large deviations in life insurance
Stefan Gerhold
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that…
Self-similar Gaussian Markov processes
Benedict Bauer, Stefan Gerhold
We characterize all multi-dimensional real self-similar Gaussian Markov processes. Three types of covariance matrix functions occur: white-noise type functions, covariances that ca…
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
Stefan Gerhold, Friedrich Hubalek, Richard B. Paris
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monot…
Large deviations for fractional volatility models with non-Gaussian volatility driver
Stefan Gerhold, Christoph Gerstenecker, Archil Gulisashvili
We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of…