Results 11 to 20 of about 61 (60)
An Uncertain Alternating Renewal Insurance Risk Model
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 The claim process in an insurance risk model with uncertainty is traditionally described by an uncertain renewal reward process. However, the claim process actually includes two processes, which are called the report process and the payment process, respectively.
Jia Zhai +4 more
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An Optimal Portfolio Problem of DC Pension with Input‐Delay and Jump‐Diffusion Process
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input‐delay) is particularly focused. There are two assets available for investment: a risk‐free cash bond and a risky stock with a jump‐diffusion process. And the wealth
Weixiang Xu, Jinggui Gao, Wenguang Yu
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Pricing of Margin Call Stock Loan Based on the FMLS
Mathematical Problems in Engineering, Volume 2020, Issue 1, 2020., 2020 In common stock loan, lenders face the risk that their loans will not be repaid if the stock price falls below loan, which limits the issuance and circulation of stock loans. The empirical test suggests that the log‐return series of stock price in the US market reject the normal distribution and admit instead a subclass of the asymmetric distribution ...
Kaili Xiang +3 more
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Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
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Does Climate Change Risk Impact Insurance Credit Risk? Cross Country Evidence
Business Strategy and the Environment, Volume 34, Issue 5, Page 5401-5418, July 2025.ABSTRACT While climate change poses a significant financial risk to the insurance industry, research has not yet examined the impact on the insurer's credit risk. This study investigates the impact of climate change risks on credit risk for insurance firms.
Jassem Alokla +2 more
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International Journal of Mathematics and Mathematical Sciences, Volume 2025, Issue 1, 2025.In this paper, we reformulate the classical risk model to consider economic factors such as taxation and real force of interest. In the model, the premiums are assumed to be compounded by increasing annuities over some time. The loss process is also presumed to be two mixed stochastic processes with weights that sum to 1.
Calvine Odiwuor +4 more
wiley +1 more source
Achieving fairness in the food system
Food and Energy Security, Volume 13, Issue 4, July/August 2024.Abstract The challenge of feeding an additional 2 billion people by 2050 is one of the most pressing issues of our generation. The required changes in the current food system must be achieved while reducing the negative environmental impacts of current farming practices on our climate and biodiversity and avoiding deforestation.
Helen Onyeaka +13 more
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On a Perturbed Risk Model with Time‐Dependent Claim Sizes
Journal of Mathematics, Volume 2024, Issue 1, 2024.We consider a risk model perturbed by a Brownian motion, where the individual claim sizes are dependent on the inter‐claim times. We study the Gerber–Shiu functions when ruin is due to a claim or the jump‐diffusion process. Integro‐differential equations and Laplace transforms satisfied by the Gerber–Shiu functions are obtained.
Longfei Wei +4 more
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The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]
Methodol Comput Appl Probab, 2023 Pojer S, Thonhauser S.
europepmc +1 more source