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Dependence Properties of exit times with applications to risk management

Bäuerle, N.; 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.

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Volltext §
DOI: 10.5445/IR/1000033050
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Jahr 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
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