Results 11 to 20 of about 44,017 (164)
Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
Journal of Probability and Statistics, 2010 We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-
Patrice Gaillardetz
doaj +1 more source
Test Martingales, Bayes Factors and $p$-Values [PDF]
, 2011 A nonnegative martingale with initial value equal to one measures evidence against a probabilistic hypothesis. The inverse of its value at some stopping time can be interpreted as a Bayes factor.
Shafer, Glenn +3 more
core +3 more sources
International Journal of Mathematics and Mathematical Sciences, 2004 We study a family of diffusion models for compounded risk reserves which account for the investment income earned and for the inflation experienced on claim amounts.
S. Shao, C. L. Chang
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Martingale Theory-Based Optimal Task Allocation in Heterogeneous Vehicular Networks
IEEE Access, 2019 Intelligent transportation systems (ITSs), which can fulfill people's increasing requirements on mobility, have arisen as a popular research area. In order to implement the ITSs, a large amount of data needs to be executed within requested time.
Tingting Liu +5 more
doaj +1 more source
, 2020 If a given aggregate process $S$ is a compound mixed renewal process under a probability measure $P$, we provide a characterization of all probability measures $Q$ on the domain of $P$ such that $Q$ and $P$ are progressively equivalent and $S$ is converted into a compound mixed Poisson process under $Q$.
Tzaninis, Spyridon M. +1 more
openaire +2 more sources
On the Hedging of Options On Exploding Exchange Rates [PDF]
, 2012 We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows ...
Carr, Peter +2 more
core +1 more source
Assessing the role of spatial externalities in the survival of Italian innovative startups
Regional Science Policy &Practice, EarlyView., 2023 Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani +4 more
wiley +1 more source
Towards a probability-free theory of continuous martingales
, 2017 26 ...
Vovk, Vladimir, Shafer, Glenn
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Optimal investment with intermediate consumption under no unbounded profit with bounded risk [PDF]
, 2017 We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field.
Chau, Huy N. +3 more
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Martingale Hardy spaces with variable exponents
, 2016 In this paper, we introduce Hardy spaces with variable exponents defined on a probability space and develop the martingale theory of variable Hardy spaces.
Chen, Wei +3 more
core +1 more source