Statistical Arbitrage for Multiple Co-integrated Stocks. [PDF]
Appl Math Optim, 2022 Li TN, Papanicolaou A.
europepmc +1 more source
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 ...
Ricardo Josa-Fombedilla +1 more
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Models of Non-Life Insurance Mathematics [PDF]
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
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On the Poisson Process of Order k Space
, 2013 2010 Mathematics Subject Classification: 60E05, 62P05.In this notes, the Poisson process of order k as a compound Poisson process is analyzed. We give a brief review of the distributions of order k. Then, some properties of the Poisson process of order k
Kostadinova, Krasimira Y.
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Strong Consistency of the Conditional Least Squares Estimator for a Nonstationary Process. Example of the Garch Model [PDF]
, 2009 2000 Mathematics Subject Classification: Primary: 62M10, 62J02, 62F12, 62M05, 62P05, 62P10; secondary: 60G46, 60F15.We consider the Conditional Least Squares Estimator (CLSE) of a unknown parameter θ0 ∈ Rp of the conditional expectation of a real ...
Jacob, Christine
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Dichotomous unimodal compound models: application to the distribution of insurance losses. [PDF]
J Appl Stat, 2020 Tomarchio SD, Punzo A.
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Sample ACF of Multivariate Stochastic Recurrence Equations With Application to GARCH
, 1999 We study the weak limit behaviour of the sample autocorrelation function (ACF) of non-linear stationary sequences with regularly varying finite-dimensional distributions.
Richard A. Davis +2 more
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Threshold selection and trimming in extremes. [PDF]
Extremes (Boston), 2020 Bladt M, Albrecher H, Beirlant J.
europepmc +1 more source
Nonparametric estimation for Levy processes with a view towards mathematical finance
, 2004 AMS Subject Classification (2000): 62G05, 62P05, 60G51, 60E07Nonparametric methods for the estimation of the Levy density of a Levy process X are developed.
Figueroa-Lopez, Enrique +1 more
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A comparison of parametric models for mortality graduation. Application to mortality data of the Valencia Region [PDF]
, 2005 HolaThe parametric graduation of mortality data has as its objective the satisfactory estimation of the death rates based on mortality data but using an age-dependent function whose parameters are adjusted from the crude rates obtainable directly from ...
Sala-Garrido, Ramon +5 more
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