Search Results - subject:"Model ambiguity"

Chen, An; Vanduffel, Steven; Wilke, Morten - In: European journal of operational research : EJOR 320 (2025) 3, pp. 754-764

Persistent link: https://www.econbiz.de/10015085373

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and Stochastics 28 (2024) 4, pp. 965-997

Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We...

Persistent link: https://www.econbiz.de/10015359560

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and stochastics 28 (2024) 4, pp. 965-997

Persistent link: https://www.econbiz.de/10015130486

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Persistent link: https://www.econbiz.de/10014435599

Default ambiguity

Fadina, Tolulope; Schmidt, Thorsten - In: Risks 7 (2019) 2, pp. 1-17

This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in the recovery in a fractional recovery of the market value. This approach is a first step towards integrating uncertainty in credit-risky term...

Persistent link: https://www.econbiz.de/10013200482

Default ambiguity

Fadina, Tolulope; Schmidt, Thorsten - In: Risks : open access journal 7 (2019) 2/64, pp. 1-17

Persistent link: https://www.econbiz.de/10012018930

Data-driven percentile optimization for multi-class queueing systems with model ambiguity : theory and application

Bren, Austin; Saghafian, Soroush - 2018

Persistent link: https://www.econbiz.de/10011815131

Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition

Zhao, Lin; van Wijnbergen, Sweder - 2014

often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant … problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model … ambiguity gets resolved in later phases of the projects considered. We show that traditional valuation approaches will …

Persistent link: https://www.econbiz.de/10010491370

Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition

Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011256690