Search Results - subject:"Compound Poisson process"

Computation of Greeks for jump-diffusion models

Eddahbi, M'hamed; Cherif, Sidi Mohamed Lalaoui Ben; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10011403918

Recovery Process Model

Itoh, Yuki - Graduate School of Economics, Hitotsubashi University - 2008

process by a homogeneous compound Poisson process and extend our model to an inhomogeneous compound Poisson process. Interest … methods of calculating the transition density of an inhomogeneous compound Poisson process is necessary for calculating the … methods. Therefore we propose the new procedure for calculating it by a piecewise homogeneous compound Poisson process. …

Persistent link: https://www.econbiz.de/10004992570

Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables

Yan, Jun - In: Statistics & Probability Letters 91 (2014) C, pp. 171-180

compound Poisson process. We also establish an estimation for the coherent entropic risk measure of sum of i.i.d. random … for compound Poisson process. Finally, several simulation results are given to support our results. …

Persistent link: https://www.econbiz.de/10010776540

Nonparametric density estimation in compound Poisson processes using convolution power estimators

Comte, Fabienne; Duval, Céline; Genon-Catalot, Valentine - In: Metrika 77 (2014) 1, pp. 163-183

Consider a compound Poisson process which is discretely observed with sampling interval <InlineEquation ID="IEq1 …

Persistent link: https://www.econbiz.de/10010995071

Optimal reinsurance and investment with unobservable claim size and intensity

Liang, Zhibin; Bayraktar, Erhan - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 156-166

We consider the optimal reinsurance and investment problem in an unobservable Markov-modulated compound Poisson risk model, where the intensity and jump size distribution are not known but have to be inferred from the observations of claim arrivals. Using a recently developed result from...

Persistent link: https://www.econbiz.de/10011046636

Optimal reinsurance and investment with unobservable claim size and intensity

Liang, Zhibin; Bayraktar, Erhan - In: Insurance / Mathematics & economics 55 (2014), pp. 156-166

Persistent link: https://www.econbiz.de/10010366184

Catastrophe risk derivatives : a new approach

Abdessalem, Mehdi Bekralas; Ohnishi, Masamitsu - In: Journal of mathematical finance 4 (2014) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10010422906

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial … driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing … to the problems (2.4) and (5.1) in a jump-diffusion model driven by a Brownian motion and a compound Poisson process with …

Persistent link: https://www.econbiz.de/10005489963

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...

Persistent link: https://www.econbiz.de/10011228078

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2006

Persistent link: https://www.econbiz.de/10005042446