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.
K. Mitov, Georgi, V. 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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Non Automatically Exercised (Nae) European Capped Call Pricing Theory [PDF]
, 2007 The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.doi.org/10.
Abdurakhman, A. (Abdurakhman) +3 more
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On the asymptotic distribution of certain bivariate reinsurance treaties
, 2006 Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0.
Hashorva, Enkelejd
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What do distortion risk measures tell us on excess of loss reinsurance with reinstatements ? [PDF]
In this paper we focused our attention to the study of an excess of loss reinsurance with reinstatements, a problem previously studied by Sundt [5] and, more recently, by Mata [4] and HÄurlimann [3].
Antonella Campana, Paola Ferretti
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More General Credibility Models [PDF]
This communication gives some extensions of the original Bühlmann model. The paper is devoted to semi-linear credibility, where one examines functions of the random variables representing claim amounts, rather than the claim amounts themselves.contracts,
Virginia ATANASIU
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Assessing the discriminatory power of loss given default models. [PDF]
J Appl Stat, 2022 Kazianka H, Morgenbesser A, Nowak T.
europepmc +1 more source
Is an original paper, which contains a hierarchical model with three levels, for determining the linearized non-homogeneous and homogeneous credibility premiums at company level, at sector level and at contract level, founded on the relevant covariance ...
Constanta Nicoleta BODEA
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Analysis of Longitudinal Binomial Data with Positive Association between the Number of Successes and the Number of Failures: An Application to Stock Instability Study. [PDF]
Entropy (Basel), 2022 Zhang X, Yan G, Ma R, Li J.
europepmc +1 more source
Profile identification via weighted related metric scaling : an application to dependent Spanish children [PDF]
Disability and dependency (lack of autonomy in performing common everyday actions) affect health status and quality of life, therefore they are significant public health issues.
Aurea Grané +2 more
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