Results 61 to 70 of about 63,363 (219)
Integral Options in Models with Jumps [PDF]
We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free-boundary ...
Pavel V. Gapeev
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Compound Compound Poisson Risk Model [PDF]
, 2009 2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process.
Minkova, Leda D.
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Inference for the limiting cluster size distribution of extreme values
, 2009 Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters.
Robert, Christian Y.
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On The Mean First Exit Time For A Compound Poisson Process [PDF]
, 2021 Gamze Özel
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Recently because of Basel II and the subprime mortgage crisis, the quantification of recovery size and recovery rate for the debt of a defaulted company is a serious problem for financial institutions and their supervision, but there has been no study of
Itoh, Yuki
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Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing
Risks, 2017 We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence
Krzysztof Burnecki +1 more
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Statistical Models for High Frequency Security Prices [PDF]
This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to characterize important features of high frequency security prices.
Roel C.A. Oomen
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Journal of Applied Mathematics, 2014 We focus on the expected discounted penalty function of a compound Poisson risk model with random incomes and potentially delayed claims. It is assumed that each main claim will produce a byclaim with a certain probability and the occurrence of the ...
Huiming Zhu +3 more
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Pricing Compound and Extendible Options under Mixed Fractional Brownian Motion with Jumps
Axioms, 2019 This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure.
Foad Shokrollahi
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Poisson limit of an inhomogeneous nearly critical INAR(1) model
, 2007 An inhomogeneous first--order integer--valued autoregressive (INAR(1)) process is investigated, where the autoregressive type coefficient slowly converges to one.
Györfi, László +3 more
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