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A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization

Qihe Tang, Zhongyi Yuan
Year2012
VenueNorth American Actuarial Journal
Typearticle
Citations22
DOI10.1080/10920277.2012.10590648
OpenAlexW2094868085

Topics

Probability and Risk ModelsBivariate analysisAutoregressive modelPortfolioEconometricsMathematics