The Garman-Klass volatility estimator revisited [PDF]
, 2009 The Garman-Klass unbiased estimator of the variance per unit time of a zero-drift Brownian Motion B, based on the usual financial data that reports for time windows of equal length the open (OPEN), minimum (MIN), maximum (MAX) and close (CLOSE) values ...
Meilijson, Isaac
core
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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Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements [PDF]
With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution.
Antonella Campana, Paola Ferretti
core
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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Statistical Arbitrage for Multiple Co-integrated Stocks. [PDF]
Appl Math Optim, 2022 Li TN, Papanicolaou A.
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On the Pricing and Hedging of Long Dated Zero Coupon Bonds [PDF]
The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with the ...
Eckhard Platen
core
, 2008 The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it ...
Sevcovic, D., Stehlikova, B.
core
Dichotomous unimodal compound models: application to the distribution of insurance losses. [PDF]
J Appl Stat, 2020 Tomarchio SD, Punzo A.
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Threshold selection and trimming in extremes. [PDF]
Extremes (Boston), 2020 Bladt M, Albrecher H, Beirlant J.
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