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  • Search: subject:"Diffusive"
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Year of publication
Subject
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Reinsurance 3 Theorie 3 Theory 3 diffusive limit 3 Capital injections 2 Cost of capital 2 Diffusive Approximation 2 Diffusive risk model 2 Estimation theory 2 Fixed cost 2 Fixed costs 2 Fixkosten 2 Fokker Planck Equation 2 Fractional Kelly Rule 2 Heterogeneous Beliefs 2 Invariant Distribution 2 Kapitalkosten 2 Optimal stopping 2 Prediction Markets 2 Risikomanagement 2 Risikomodell 2 Risk management 2 Risk model 2 Rückversicherung 2 Schätztheorie 2 Stochastic process 2 Stochastischer Prozess 2 capital injections 2 diffusive risk model 2 error measurements 2 fixed cost 2 general compound Hawkes process 2 maximum likelihood estimation (MLE) 2 optimal stopping 2 particle swarm optimization (PSO) 2 reinsurance 2 Estimation 1 Forecasting model 1 Hawkes process 1 Lévy measure 1
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Online availability
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Free 10 CC license 1
Type of publication
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Book / Working Paper 6 Article 4
Type of publication (narrower categories)
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Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 2 Article in journal 2 Aufsatz in Zeitschrift 2
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Language
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English 9 Undetermined 1
Author
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Federico, Salvatore 4 Ferrari, Giorgio 4 Bottazzi, Giulio 2 Giachini, Daniele 2 He, Qiyue 2 Sviščuk, Anatolij 2 Torrente, Maria Laura 2 Torrente, Maria-Laura 2 Abergel, Frédéric 1 Jedidi, Aymen 1 Kim, Jihyun 1 Park, Joon Y. 1 Wang, Bin 1
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Institution
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HAL 1
Published in...
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Center for Mathematical Economics Working Papers 1 LEM Working Paper Series 1 LEM working paper series 1 Mathematics and Financial Economics 1 Mathematics and financial economics 1 Risks 1 Risks : open access journal 1 Working Papers / HAL 1 Working papers / TSE : WP 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 5 EconStor 4 RePEc 1
Showing 1 - 10 of 10
Did you mean: subject:"diffusion" (6,663 results)
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Irreversible reinsurance : minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and financial economics 18 (2024) 4, pp. 707-733
Persistent link: https://www.econbiz.de/10015189220
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Cover Image
Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and Financial Economics 18 (2024) 4, pp. 707-733
insurance company evolves according to the diffusive approximation of the Cramér-Lundberg model, claims arrive at a fixed …
Persistent link: https://www.econbiz.de/10015373205
Saved in:
Cover Image
Irreversible reinsurance: Minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria Laura - 2023
insurance company evolves according to the diffusive approximation of the Cramér-Lundberg model, claims arrive at a fixed …
Persistent link: https://www.econbiz.de/10014476153
Saved in:
Cover Image
Irreversible reinsurance : minimization of capital injections in presence of a fixed cost
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria Laura - 2023
insurance company evolves according to the diffusive approximation of the Cramér-Lundberg model, claims arrive at a fixed …
Persistent link: https://www.econbiz.de/10014371814
Saved in:
Cover Image
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020
Persistent link: https://www.econbiz.de/10012216029
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Quantitative and comparative analyses of limit order books with general compound hawkes processes
He, Qiyue; Sviščuk, Anatolij - In: Risks 7 (2019) 4, pp. 1-21
their diffusive limits to model the mid price movements of 6 stocks-EBAY, FB, MU, PCAR, SMH, CSCO. We also define error …
Persistent link: https://www.econbiz.de/10013200528
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Cover Image
Quantitative and comparative analyses of limit order books with general compound hawkes processes
He, Qiyue; Sviščuk, Anatolij - In: Risks : open access journal 7 (2019) 4/110, pp. 1-21
their diffusive limits to model the mid price movements of 6 stocks-EBAY, FB, MU, PCAR, SMH, CSCO. We also define error …
Persistent link: https://www.econbiz.de/10012127875
Saved in:
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Wealth and price distribution by difusive approximation in a repeated prediction market
Bottazzi, Giulio; Giachini, Daniele - 2016
The approximate agents' wealth and price invariant densities of the prediction market model presented in Kets et al.(2014) is derived using the Fokker-Planck equation of the associated continuous-time jump process. We show that the approximation obtained from the evolution of log-wealth...
Persistent link: https://www.econbiz.de/10011789716
Saved in:
Cover Image
Wealth and price distribution by difusive approximation in a repeated prediction market
Bottazzi, Giulio; Giachini, Daniele - 2016
The approximate agents' wealth and price invariant densities of the prediction market model presented in Kets et al.(2014) is derived using the Fokker-Planck equation of the associated continuous-time jump process. We show that the approximation obtained from the evolution of log-wealth...
Persistent link: https://www.econbiz.de/10011446466
Saved in:
Cover Image
Stability and price scaling limit of a Hawkes-process based order book model
Jedidi, Aymen; Abergel, Frédéric - HAL - 2013
theory of Markov chains and stochastic stability, show that the order book is stable and leads to a diffusive price limit at …
Persistent link: https://www.econbiz.de/10010821274
Saved in:
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