Assessing the discriminatory power of loss given default models. [PDF]
J Appl Stat, 2022 Kazianka H, Morgenbesser A, Nowak T.
europepmc +1 more source
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.
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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On the Underwriting Gain of a Whole Life Insurance in a Dual Random Environment [PDF]
, 2008 A dual random model of life insurance, where both the time until death and the rate of return on investment are random quantities, is considered. The paradox of the underwriting gain by Jewell Mathematics Subject Classification: Primary 62P05, Secondary
Werner Hürlimann
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Explicit Description of the Input Data for the Program CRAC 2.0 Used in the Applications of the Credibility Theory [PDF]
In this paper a brief overview of the structure and the possibilities of the program CRAC 2.0 is given. It will be shown how sectors can be determined in order to use the hierarchical model that is built into the software. Furthermore a general structure
Virginia ATANASIU
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, 1998 . In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital.
Leukert, Peter +4 more
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Influence of Transfer Entropy in the Short-Term Prediction of Financial Time Series Using an ∊-Machine. [PDF]
Entropy (Basel), 2022 Zavala-Díaz JC +4 more
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Actuarial Analysis of Survival among Breast Cancer Patients in Lithuania. [PDF]
Healthcare (Basel), 2021 Skučaitė A +3 more
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Application of Discrete Dividends to American Option Pricing [PDF]
, 2017 [Koleva-Petkova Dessislava; Колева-Петкова Десислава]; [Milev Mariyan; Милев Мариан]Dividends are a detail of financial instruments pricing which is often being oversimplified.
Koleva-Petkova, Dessislava +1 more
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The value of power-related options under spectrally negative Lévy processes
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options etc.) in the framework of exponential Lévy models driven by one-sided stable or tempered stable processes.
Jean-Philippe Aguilar
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