Dependence Properties of exit times with applications to risk management
Bäuerle, N.
; Manger, A.
; Manger, A.Abstract:
We investigate the dependence structure of d-dimensional Itˆo processes which are not necessarily time-homogeneous. Sufficient conditions are given which imply that the processes are associated, i.e. show a certain kind of positive dependence. We also prove that associated processes have associated hitting times. Some applications in risk management are given.
| Zugehörige Institution(en) am KIT | Institut für Stochastik (STOCH) |
| Publikationstyp | Zeitschriftenaufsatz |
| Publikationsjahr | 2010 |
| Sprache | Englisch |
| Identifikator | ISSN: 1813-713X urn:nbn:de:swb:90-330501 KITopen-ID: 1000033050 |
| Erschienen in | International Journal of Operations Research : IJOR |
| Band | 7 |
| Heft | 4 |
| Seiten | 33-39 |