Results 31 to 40 of about 594 (68)
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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Cliquet option pricing with Meixner processes
, 2018 We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L\'{e}vy process yielding Meixner distributed log ...
Hess, Markus
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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
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A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
, 2013 We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$.
Bauerle, Nicole, Bayraktar, Erhan
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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
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
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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
Large deviations for fractional Poisson processes
, 2012 We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance model with ...
Beghin, Luisa, Macci, Claudio
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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
Some properties of stop-loss moments under biased sampling. [PDF]
J Appl Stat, 2023 Vipin N, Ghosh I, Sunoj SM.
europepmc +1 more source