Search Results - subject:"Additive process"

Cramér-Lundberg asymptotics for spectrally positive Markov additive processes

Kreveld, Lucas van; Mandjes, Michel; Dorsman, Jan-Pieter - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 561-582

Persistent link: https://www.econbiz.de/10015052470

A fast Monte Carlo scheme for additive processes and option pricing

Azzone, Michele; Baviera, Roberto - In: Computational management science 20 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014393374

Short-time implied volatility of additive normal tempered stable processes

Azzone, Michele; Baviera, Roberto - In: Annals of Operations Research 336 (2022) 1, pp. 93-126

Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We examine the short-time-to-maturity behavior of the implied volatility smile for pure jump exponential additive processes....

Persistent link: https://www.econbiz.de/10015409593

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23

embedded Markov additive process, and via an appropriate change of measure, ruin probabilities could be computed to a closed …

Persistent link: https://www.econbiz.de/10011507555

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks 4 (2016) 2, pp. 1-23

embedded Markov additive process, and via an appropriate change of measure, ruin probabilities could be computed to a closed …

Persistent link: https://www.econbiz.de/10011709558

A risk model with an observer in a Markov environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks 1 (2013) 3, pp. 148-161

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …

Persistent link: https://www.econbiz.de/10010421265

A Risk Model with an Observer in a Markov Environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks 1 (2013) 3, pp. 148-161

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …

Persistent link: https://www.econbiz.de/10011030563

Ruin probabilities for a regenerative Poisson gap generated risk process

Asmussen, Søren; Biard, Romain - HAL - 2011

A risk process with constant premium rate $c$ and Poisson arrivals of claims is considered. A threshold $r$ is defined for claim interarrival times, such that if $k$ consecutive interarrival times are larger than $r$, then the next claim has distribution $G$. Otherwise, the claim size...

Persistent link: https://www.econbiz.de/10009323942

Some Statistical Investigations on the Nature and Dynamics of Electricity Prices

Bottazzi, Giulio; Sapio, Sandro; Secchi, Angelo - Laboratory of Economics and Management (LEM), Scuola … - 2004

, Laplace Distribution, Additive Process, Scaling. JEL Classiflcations: C16, D4, L94. ⁄Support by the Advanced School for Public … circumstantial evidence that the electricity price process is as additive process. The usual logarithmic transformation, and the … † scales as a power law of the initial price level P, with scaling exponent around -1. This is typical of an additive process …

Persistent link: https://www.econbiz.de/10005518710

Some statistical investigations on the nature and dynamics of electricity prices

Bottazzi, Giulio; Sapio, Sandro; Secchi, Angelo - 2004

It is widely accepted that in liberalized electricity markets log-returns display fat-tailed densities. Besides qualitative assessments, so far precise characterizations of the shape of the distribution have been seldom provided. In this work, we characterize the conditional and unconditional...

Persistent link: https://www.econbiz.de/10010328400