Results 31 to 40 of about 575 (49)
Investment and Consumption with Regime-Switching Discount Rates [PDF]
, 2013 This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account.
Pirvu, Traian, Zhang, Huayue
core
Large deviations for risk measures in finite mixture models
, 2018 Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data.
Bignozzi, Valeria +2 more
core +1 more source
A Bayesian Networks Approach to Operational Risk
, 2010 A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into account in a ...
Aquaro, V. +5 more
core +1 more source
Ruin probabilities in a finite-horizon risk model with investment and reinsurance [PDF]
A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Obtaining explicit optimal solutions for the minimizing ruin probability problem is a difficult task ...
Rosario Romera, Wolfgang Runggaldier
core
On the probability of reaching a barrier in an Erlang(2) risk process [PDF]
, 2005 HolaIn this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence ...
Claramunt Bielsa, M. Mercè +2 more
core
On characterization of a class of convex operators for pricing insurance risks [PDF]
The properties of risk measures or insurance premium principles have been extensively studied in actuarial literature. We propose an axiomatic description of a particular class of coherent risk measures defined in Artzner, Delbaen, Eber, and Heath (1999).
Graziella Pacelli, Marta Cardin
core
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model [PDF]
, 2010 We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar American options in the multidimensional BS market with ...
Dolinsky, Yan
core
On the characterization of convex premium principles [PDF]
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1].
Graziella Pacelli, Marta Cardin
core
Characterization of tails through hazard rate and convolution closure properties
, 2011 We use the properties of the Matuszewska indices to show asymptotic inequalities for hazard rates. We discuss the relation between membership in the classes of dominatedly or extended rapidly varying tail distributions and corresponding hazard rate ...
Anastasios G. Bardoutsos +2 more
core +1 more source
Some properties of stop-loss moments under biased sampling. [PDF]
J Appl Stat, 2023 Vipin N, Ghosh I, Sunoj SM.
europepmc +1 more source