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Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
This paper studies the joint tail behavior of two randomly weighted sums ∑
i =1 m Θ i X i and ∑j =1 n θ j Y j for some m, n ∈ ℕ ∪{∞}, in which the primary... -
The Optimal Reinsurance-Investment Problem Considering the Joint Interests of an Insurer and a Reinsurer under Hara Utility
This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a...
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Pricing VIX options with stochastic skew and asymmetric jumps
This paper performs several empirical exercises to provide evidence that the stochastic skew behavior and asymmetric jumps exist in VIX markets. In...
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Examples of Analytical Solutions by Means of Mittag-Leffler Function of Fractional Black-Scholes Option Pricing Equation
In this article, we have implemented reconstruction of variational iteration method as a new approximate analytical technique for solving fractional...
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Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
A current issue in the theory and practice of insurance and reinsurance markets is to find alternative ways of securitizing risks. Insurance...
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Discrete Algorithms for Multivariate Financial Calculus
Quantitative financial calculus is dominated by calculations of integrals related to various moments of probability distributions used for modelling....
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Practices and issues in operational risk modeling under Basel II
We provide an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and...
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From the Equivalence Principle to Market Consistent Valuation
Insurance companies are exposed to many different types of risk, in particular actuarial as well as financial risks. As a consequence, the classical...
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A generalization of Panjer’s recursion and numerically stable risk aggregation
Portfolio credit risk models as well as models for operational risk can often be treated analogously to the collective risk model coming from...
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An optimal investment strategy with maximal risk aversion and its ruin probability
In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic...
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No Free Lunch under Transaction Costs for Continuous Processes
We present a version of a No Free Lunch and Hedging Theorem for security markets under transaction costs for continuous processes. We show that the...
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Optimal Long-Term Investment Model with Memory
We consider a financial market model driven by an R n -valued Gaussian process with stationary increments which is different from Brownian motion. This...
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An approximation pricing algorithm in an incomplete market: A differential geometric approach
The minimal distance equivalent martingale measure (EMM) defined in Goll and Rüschendorf (2001) is the arbitrage-free equilibrium pricing measure....
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Text Classification for Mining Massive Aviation Inspection Reports
There are massive numbers of aviation inspection reports collected each year in the USA. These reports record findings from aviation surveillance...
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Classification Based on the Support Vector Machine and on Regression Depth
This paper compares modern classification methods based on the support vector machine (SVM) and on the regression depth method (RDM) with classical...
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Structure of Optimal Stop** Strategies for American Type Options
The general pricing processes represented by an inhomogeneous vector Markov process with discrete time is considered. Its first component is...
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A class of shot noise models for financial applications
We describe a class of non-Markov shot noise processes that can be used as models for rates of return on securities, exchange rate processes and...