Journal of Risk and Insurance, EarlyView.Abstract We analyze how public risk disclosure, specifically Solvency II, impacts life insurers' risk‐taking behavior. Using data from 58 German life insurers from 2016 to 2023, we find that publicly reported solvency ratios can affect premium growth and surrender rates.
Moritz Hanika
wiley +1 more source
Algorithmic Approaches for Assessing Multiscale Irreversibility in Time Series: Review and Comparison. [PDF]
Entropy (Basel)Zanin M, Papo D.
europepmc +1 more source
The Stability of the Multivariate Geometric Brownian Motion as a Bilinear Matrix Inequality Problem [PDF]
Gerardo Barrera +2 more
openalex +1 more source
Some Sequential Boundary Crossing Results for Geometric Brownian Motion and Their Applications in Financial Engineering [PDF]
, 2011 Tristan Guillaume
openalex +1 more source
Monitoring panels of sparse functional data
Journal of Time Series Analysis, EarlyView.Panels of random functions are common in applications of functional data analysis. They often occur when sequences of functions are observed at a number of different locations. We propose a methodology to monitor for structural breaks in such panels and to identify the changing components with statistical certainty.
Tim Kutta +2 more
wiley +1 more source
Hydrodynamic properties of macromolecules and nanoparticles in dilute solution: a brief essay on classical and modern concepts. [PDF]
Eur Biophys JGarcía de la Torre J +1 more
europepmc +1 more source
DeFi Liquidation Risk Modeling Using Geometric Brownian Motion [PDF]
Timofei Belenko, Georgii Vosorov
openalex +1 more source
Option Pricing under Delay Geometric Brownian Motion with Regime Switching [PDF]
, 2016 Tianyao Fang
openalex +1 more source
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, EarlyView.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source
Small scale electrostatically-driven aerosol deposition in <i>airway-on-chip</i> models of bronchial constriction. [PDF]
Front PhysiolBessler R +9 more
europepmc +1 more source