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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
Risk Management
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peer-review
13
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Dive into the research topics of 'A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization'. Together they form a unique fingerprint.
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Business & Economics
Finite-time Ruin Probability
Risk Model
Portfolio Optimization
Ruin Probability
Autoregressive Process
Wealth
Hybrid Method
Discrete-time
Insurer
Optimization Problem
Innovation
Simulation
Mathematics
Finite-time Ruin Probability
Portfolio Optimization
Ruin Probability
Autoregressive Process
Proportion
Estimate
Hybrid Method
Innovation
Model
Maximise
Asymptotic Formula
Discrete-time
Optimization Problem
Simulation