Search Results - subject:"STochastic process"

Hidden semi-Markov models for rainfall-related insurance claims

Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023

Persistent link: https://www.econbiz.de/10014431361

Co-jumps and recursive preferences in portfolio choices

Oliva, Immacolata; Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324

Persistent link: https://www.econbiz.de/10014380566

Analysis of numerical integration schemes for the Heston model : a case study based on the pricing of investment certificates

Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - In: Risk management magazine 18 (2023) 2, pp. 13-26

The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity, it calculates the pay-off for all the...

Persistent link: https://www.econbiz.de/10014383148

New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023

Persistent link: https://www.econbiz.de/10014383870

Approximating the classical risk process by stable Lévy motion

Cao, Jingyi; Young, Virginia R. - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 679-707

Persistent link: https://www.econbiz.de/10014383892

Valuation of variable annuities under stochastic volatility and stochastic jump intensity

Zhong, Wei; Zhu, Dan; Zhang, Zhimin - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 708-734

Persistent link: https://www.econbiz.de/10014383893

Optimal dividend bands revisited : a gradient-based method and evolutionary algorithms

Albrecher, Hansjörg; Garcia Flores, Brandon - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 788-810

Persistent link: https://www.econbiz.de/10014383971

Time-inconsistent view on a dividend problem with penalty

Strini, Josef Anton; Thonhauser, Stefan - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 811-833

Persistent link: https://www.econbiz.de/10014383974

A refracted Lévy process with delayed dividend pullbacks

Wang, Zijia; Lkabous, Mohamed Amine; Landriault, David - In: Scandinavian actuarial journal 2023 (2023) 9, pp. 885-906

Persistent link: https://www.econbiz.de/10014384012

A stochastic modelling and optimization for the design of an LNG refuelling system in the Piraeus port region

Ntakolia, Charis; Douloumpekis, Michalis; Papaleonidas, … - In: Operations research forum 4 (2023) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10014384975