Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such a model is less studied in...

The bonus-malus system (BMS) is one of the most widely used tools in merit-rating automobile insurance, with the primary goal of ensuring that fair premiums are paid by all policyholders. The traditional BMS is dependent only on the claim frequency. Thus, an insured person who makes a claim with...

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting...