Results 31 to 40 of about 573 (73)
Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains
Risks, 2016 We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy’s states follows an F -doubly stochastic Markov chain, we describe different state-dependent types of ...
Francesca Biagini +2 more
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LIBOR additive model calibration to swaptions markets [PDF]
, 2008 In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem.
Colino, Jesús P. +2 more
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Risk Measures for Classical and Perturbed Risk Processes - a Survey [PDF]
, 2011 2000 Mathematics Subject Classification: 60B10, 60G17, 60G51, 62P05.In this review paper we consider several risk measures in actuarial mathematics, such as the ruin probability, the ruin time, the severity of ruin, the surplus immediately before ruin ...
T. Kolkovska, Ekaterina
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Models of Non-Life Insurance Mathematics [PDF]
Informatică economică, 2008 In this communication we will discuss two regression credibility models from Non – Life Insurance Mathematics that can be solved by means of matrix theory.
Constanta Nicoleta BODEA
doaj
Uniform asymptotics for the tail probability of weighted sums with heavy tails [PDF]
, 2014 This paper studies the tail probability of weighted sums of the form $\sum_{i=1}^n c_i X_i$, where random variables $X_i$'s are either independent or pairwise quasi-asymptotical independent with heavy tails.
Zhang, Chenhua
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On the Second Fundamental Theorem of Asset Pricing [PDF]
, 2015 Let $X^1,\ldots, X^d$ be sigma-martingales on $(\Omega,{\cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t.
Karandikar, Rajeeva L, Rao, B V
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Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models
Dependence ModelingThis article introduces a hybrid framework that combines local Gaussian correlation (LGC) with hidden Markov models (HMMs) to model dynamic and nonlinear dependencies in general insurance claims, thereby addressing the limitations of static copula ...
Afazali Zabibu +4 more
doaj +1 more source
Sensitivity Analysis of Some Applied Probability Models [PDF]
, 2007 2000 Mathematics Subject Classi cation: Primary 90C31. Secondary 62C12, 62P05, 93C41.The aim of the paper is two-fold, namely, to give a brief survey of sensitivity analysis methods and to use them for investigation of two input-output models arising in ...
V. Bulinskaya, Ekaterina
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Option Pricing by Branching Process [PDF]
, 2007 2000 Mathematics Subject Classification: 60J80, 62P05.The randomly indexed Galton-Watson branching process has been used for the model of daily stock prices.
Mitov, Georgi, Mitov, Kosto
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Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates [PDF]
In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the aim ...
Juan Pablo Rincon-Zapatero +1 more
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