Results 71 to 80 of about 135 (110)

Operator trigonometry of multivariate finance

We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments.
Gustafson, Karl
core  

On the application of new tests for structural changes on global minimum-variance portfolios

We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio theory is combined with recently proposed change point tests for dependence measures.
Daniel Ziggel, Tobias Berens, Dominik Wied   +2 more
core   +1 more source

Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs

, 2020
International audienceWe consider a general $k$ dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (claims) are given by a $k$ dimensional finite state ...
Woo, Jae-Kyung, Rabehasaina, Landy
core  

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns. [PDF]

J Inequal Appl, 2018
Dong Y, Wang D.
europepmc   +1 more source

Sparse long-only Markowitz portfolio optimization. [PDF]

J Appl Stat
Qian T.
europepmc   +1 more source

Web renewal counting processes and their applications in insurance. [PDF]

J Inequal Appl, 2018
Li R, Bi X, Zhang S.
europepmc   +1 more source

Insurance risk analysis using tempered stable subordinator. [PDF]

J Appl Stat
Aktaş Aslan T, Bulut Karageyik B.
europepmc   +1 more source

On a multivariate renewal-reward process involving time delays and discounting: Applications to IBNR process and infinite server queues

, 2018
International audienceThis paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays.
Woo, Jae-Kyung, Rabehasaina, Landy
core  

A constrained robust Markov regime-switching model for long-term risk evaluation. [PDF]

J Appl Stat
Qin S, Guo B, Wu Y, Xie H, Dong J.
europepmc   +1 more source

ON NON-EXISTENCE OF A ONE FACTOR INTEREST RATE MODEL FOR VOLATILITY AVERAGED GENERALIZED FONG-VASICEK TERM STRUCTURES

, 2009
1.Overview of term structure modeling 2.Averaging with respect to stochastic volatility and relation to one-factor modelsProceedings of the Czech-Japanese Seminar in Applied Mathematics 2008Takachiho University of Miyazaki, Miyazaki, Japan, September 1-7,
Stehlíková, Beáta, Sevcovic, Daniel
core