Results 21 to 30 of about 649 (90)
On optimal reinsurance with stochastic premium
Applied Mathematical Sciences, 2019 In this paper we study optimal reinsurance models from the perspective of an insurer by minimizing the total risk exposure under a distortion risk measure in the hypothesis of a stochastic reinsurance premium.
A. Campana, Paola Ferretti
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Multivariate Fréchet copulas and conditional value‐at‐risk
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 7, Page 345-364, 2004., 2004 Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
Werner Hürlimann
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The Pólya‐Aeppli process and ruin problems
International Journal of Stochastic Analysis, Volume 2004, Issue 3, Page 221-234, 2004., 2004 The Pólya‐Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya‐Aeppli process. It is called a Pólya‐Aeppli risk model. The problem of finding the ruin probability and the Cramér‐Lundberg approximation is studied.
Leda D. Minkova
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On optimal layer reinsurance model
Applied Mathematical Sciences, 2019 In this paper, we consider the class of non-proportional reinsurance contracts known as layer reinsurance model or limited stop-loss treaty. With the aim of finding an optimal layer reinsurance, we make the choice of considering an optimization criteria ...
A. Campana, Paola Ferretti
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Conditional value‐at‐risk bounds for compound Poisson risks and a normal approximation
Journal of Applied Mathematics, Volume 2003, Issue 3, Page 141-153, 2003., 2003 A considerable number of equivalent formulas defining conditional value‐at‐risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value‐at‐risk of compound Poisson loss distributions under incomplete information about its severity distribution, which is assumed to have a known finite range, mean, and
Werner Hürlimann
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Fractional virus epidemic model on financial networks
Open Mathematics, 2016 In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus.
Balci Mehmet Ali
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Time series modelling of the Kobe‐Osaka earthquake recordings
International Journal of Mathematics and Mathematical Sciences, Volume 29, Issue 8, Page 467-479, 2002., 2002 A problem of great interest in monitoring a nuclear test ban treaty (NTBT) is related to interpreting properly the differences between a waveform generated by a nuclear explosion and that generated by an earthquake. With a view of comparing these two types of waveforms, Singh (1992) developed a technique for identifying a model in time domain ...
N. Singh +2 more
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A two-component copula with links to insurance
Dependence Modeling, 2017 This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors.
Ismail S., Yu G., Reinert G., Maynard T.
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Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
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Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
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