Search Results - subject:"Doubly Stochastic"

On the determinant and its derivatives of the rank-one corrected generator of a Markov chain on a graph

Filar, J.; Haythorpe, M.; Murray, W. - In: Journal of Global Optimization 56 (2013) 4, pp. 1425-1440

matrix of a doubly stochastic Markov chain. The motivation arises from the fact that the global minimiser of this determinant … of work since for the Hessian N <Superscript>2</Superscript> cofactors are required. We show how the doubly stochastic …

Persistent link: https://www.econbiz.de/10010994050

Intensity-based premium evaluation for unemployment insurance products

Biagini, Francesca; Groll, Andreas; Widenmann, Jan - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 302-316

–unemployment progress of an insured person follows an F-doubly stochastic Markov chain. The stochastic intensity processes are estimated for …, which we show to be naturally connected to the class of F-doubly stochastic Markov chains. Based on the statistical analysis …

Persistent link: https://www.econbiz.de/10010681887

Relative Volume as a Doubly Stochastic Binomial Point Process

McCulloch, James - Finance Discipline Group, Business School - 2005

volume divided by final total volume) is shown to be a novel generalization of a binomial point process; the doubly … stochastic binomial point process. Re-scaling the intra-day traded volume to a relative volume between 0 (no volume traded) and 1 …

Persistent link: https://www.econbiz.de/10004984540

Asymptotic equidistribution of congruence classes with respect to the convolution iterates of a probability vector

Gnacadja, Gilles - In: Statistics & Probability Letters 82 (2012) 10, pp. 1849-1852

Consider a positive integer d and a positive probability vector f over the numbers 0,…,ℓ. The n-fold convolution f∗n of f is a probability vector over the numbers 0,…,nℓ, and these can be partitioned into congruence classes modulo d. The main result of this paper is that,...

Persistent link: https://www.econbiz.de/10011039863

Fractal market time

McCulloch, James - In: Journal of Empirical Finance 19 (2012) 5, pp. 686-701

stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative …

Persistent link: https://www.econbiz.de/10010594255

One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients

Li, Zhi; Luo, Jiaowan - In: Statistics & Probability Letters 82 (2012) 10, pp. 1841-1848

In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one …

Persistent link: https://www.econbiz.de/10010597142

PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS

BIAGINI, FRANCESCA; WIDENMANN, JAN - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250025-1

techniques in a doubly stochastic setting. We describe individual insurance claims based on a special type of unemployment … time-homogeneous doubly stochastic Markov chain. In this framework, formulas for the premiums are provided depending on the …

Persistent link: https://www.econbiz.de/10010552939

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

NORBERG, RAGNAR; SAVINA, OKSANA - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250030-1

catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with …

Persistent link: https://www.econbiz.de/10010552941

A quadratic hedging approach to comparison of catastrophe indices

Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10009624461

Pricing of unemployment insurance products with doubly stochastic Markov chains

Biagini, Francesca; Widenmann, Jan - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624472