Results 21 to 30 of about 575 (49)
Generalized Hoeffding-Fréchet functionals and mass transportation
Dependence ModelingThis note is concerned with some historical remarks on and a partial review of two interesting mathematical subjects, the generalized Hoeffding-Fréchet functionals and the Monge-Kantorovich mass transportation problem.
Rüschendorf Ludger
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Convergence of Estimated Option Price in a Regime switching Market
, 2016 In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition rate, to meet the
Goswami, Anindya, Nandan, Sanket
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On the Lebesgue Property of Monotone Convex Functions
, 2013 The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space, (2) the ...
Owari, Keita
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Cliquet option pricing in a jump-diffusion L\'{e}vy model [PDF]
, 2018 We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted L\'{e}vy process entailing a Brownian diffusion component as well as ...
Hess, Markus
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Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory [PDF]
, 2013 We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and the duration of ...
Yin, Chuancun, Yuen, Kam Chuen
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Large deviations for a damped telegraph process
, 2013 In this paper we consider a slight generalization of the damped telegraph process in Di Crescenzo and Martinucci (2010). We prove a large deviation principle for this process and an asymptotic result for its level crossing probabilities (as the level ...
A Crescenzo Di +20 more
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I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.value-at ...
Alfred Galichon
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Convexity, translation invariance and subadditivity for $g$-expectations and related risk measures
, 2008 Under the continuous assumption on the generator $g$, Briand et al. [Electron. Comm. Probab. 5 (2000) 101--117] showed some connections between $g$ and the conditional $g$-expectation $({\mathcal{E}}_g[\cdot|{\mathcal{F}}_t])_{t\in[0,T]}$ and Rosazza ...
Jiang, Long
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Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
, 2018 Let $\{\xi_1,\xi_2,\ldots\}$ be a sequence of independent but not necessarily identically distributed random variables. In this paper, the sufficient conditions are found under which the tail probability $\mathbb{P}(\sup_{n\geqslant0}\sum_{i=1}^n\xi_i>x)$
Kievinaitė, Dominyka, Šiaulys, Jonas
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Uniform asymptotics for the tail probability of weighted sums with heavy tails [PDF]
, 2014 This paper studies the tail probability of weighted sums of the form $\sum_{i=1}^n c_i X_i$, where random variables $X_i$'s are either independent or pairwise quasi-asymptotical independent with heavy tails.
Zhang, Chenhua
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