Anders Rønn-Nielsen

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math.PR2023

Extremes of regularly varying stochastic volatility fields

Mads Stehr, Anders Rønn-Nielsen

We consider a stationary stochastic volatility field $Y_{v} Z_{v}$ with $v \in Z^{d}$ , where $Z$ is regularly varying and $Y$ has lighter tails and is independent of $Z$ . We make -…

math.PR2016

Asymptotics for the ruin time of a piecewise exponential Markov process with jumps

Anders Rønn-Nielsen

In this paper a class of Ornstein--Uhlenbeck processes driven by compound Poisson processes is considered. The jumps arrive with exponential waiting times and are allowed to be two…