Results 31 to 40 of about 135 (110)
On Directional Immunization and Exact Matching [PDF]
, 2020 The rigorous version of Redington's theorem by Montrucchio and Peccati [12] is shown to be valid in a multivariate framework. It provides necessary and sufficient conditions for immunizing a fixed-income portfolio of assets and liabilities against ...
Werner Hürlimann
core
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
Multivariate tail dependence: further insights with an application to the Spanish banking sector
Dependence ModelingExtending bivariate dependence concepts to higher dimensions is a challenging but essential task for a comprehensive understanding of multivariate dependence.
Durante Fabrizio +3 more
doaj +1 more source
Fisher information, Bivariate t-copula, Hessian, Maximum likelihood, Semiparametric estimation, Efficiency, 62F10, 62F12, 62P05,
Rada Dakovic, Claudia Czado
core +1 more source
Subcritical Randomly Indexed Branching Processes [PDF]
, 2011 2000 Mathematics Subject Classification: 60J80, 62P05.The paper continues the study of the randomly indexed branching processes in the subcritical case.
V. Mitov, Kosto, K. Mitov, Georgi
core
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
On optimal portfolio diversification with respect to extreme risks
Portfolio optimization, Risk management, Diversification effects, Multivariate extremes, 62G32, 62G05, 62G20, 62P05, C13, C14, G11,
Ludger Rüschendorf, Georg Mainik
core +1 more source
On rankings and top choices in random utility models with dependent utilities
60E15, 62P05, Arrangement increasing density, Multivariate joint stochastic order, Aggregate preference order, Ranking, Random utility model,
José Ruiz +3 more
core +1 more source
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
core
Threshold selection in jump-discriminant filter for discretely observed jump processes
Threshold estimation, Jump-discriminant filter, Integrated-volatility, Asymptotic unbiasedness, Plug-in method, 62M09, 62P05,
Yasutaka Shimizu
core +1 more source