Search Results - subject:"Counting process"

On technical bases and surplus in life insurance

Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus - In: Scandinavian actuarial journal 2024 (2024) 9, pp. 881-909

Persistent link: https://www.econbiz.de/10015188210

Estimation of an order book dependent hawkes process for large datasets

Mucciante, Luca; Sancetta, Alessio - 2024

Persistent link: https://www.econbiz.de/10015338768

Intraday trades profile estimation : an intensity approach

Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677

Persistent link: https://www.econbiz.de/10014314773

Counting jumps : does the counting process count?

Ballotta, Laura; Fusai, Gianluca; Marazzina, Daniele - In: Quantitative finance 24 (2024) 11, pp. 1621-1640

Persistent link: https://www.econbiz.de/10015196949

Monte Carlo simulation of the moments of a copula-dependent risk process with Weibull interwaiting time

Alhabshi, Sharifah Farah Syed Yusoff; Zamzuri, Zamira … - In: Risks 9 (2021) 6, pp. 1-13

dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting … process to allow for dispersed datasets. A copula is used to define the dependence structure between the interwaiting time and …

Persistent link: https://www.econbiz.de/10013200777

Monte Carlo simulation of the moments of a copula-dependent risk process with Weibull interwaiting time

Alhabshi, Sharifah Farah Syed Yusoff; Zamzuri, Zamira … - In: Risks : open access journal 9 (2021) 6, pp. 1-13

Persistent link: https://www.econbiz.de/10012598393

The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings

Bayer, Christian; Rendall, Alan D.; Wälde, Klaus - 2018

We study optimal savings in continuous time with exogenous transitions between employment and unemployment as the only source of uncertainty in a small open economy. We prove the existence of an optimal consumption path. We exploit that the dynamics of consumption and wealth between jumps can be...

Persistent link: https://www.econbiz.de/10011957213

The invariant distribution of wealth and employment status in a small open economy with precautionary savings

Bayer, Christian; Rendall, Alan D.; Wälde, Klaus - 2018

Persistent link: https://www.econbiz.de/10011941404

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times

Chen, Yiqing; White, Toby; Yuen, Kam Chuen - In: Insurance / Mathematics & economics 97 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012491954

The invariant distribution of wealth and employment status in a small open economy with precautionary savings

Bayer, Christian; Rendall, Alan D.; Wälde, Klaus - In: Journal of mathematical economics 85 (2019), pp. 17-37

Persistent link: https://www.econbiz.de/10012311014

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