Search Results - subject:"Weak Convergence"

Improving convergence of binomial schemes and the Edgeworth expansion

Bock, Alona; Korn, Ralf - In: Risks : open access journal 4 (2016) 2, pp. 1-22

Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging...

Persistent link: https://www.econbiz.de/10011507486

Stability properties of Haezendonck-Goovaerts premium principles

Gao, Niushan; Munari, Cosimo-Andrea; Xanthos, Foivos - In: Insurance / Mathematics & economics 94 (2020), pp. 94-99

Persistent link: https://www.econbiz.de/10012419134

Weak limits of random coefficient autoregressive processes and their application in ruin theory

Dong, Y.; Spielmann, J. - In: Insurance / Mathematics & economics 91 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012241966

Continuity of utility maximization under weak convergence

Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia - In: Mathematics and financial economics 14 (2020) 4, pp. 725-757

Persistent link: https://www.econbiz.de/10012321870

A clustering method to solve backward stochastic differential equations with jumps

Zhang, Liangliang - In: Journal of mathematical finance 10 (2020) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012545300

Extended weak convergence and utility maximisation with proportional transaction costs

Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan - In: Finance and stochastics 24 (2020) 4, pp. 1013-1034

Persistent link: https://www.econbiz.de/10012518140

Mean-risk portfolio management with bankruptcy prohibition

Wong, K. C.; Yam, Sheung Chi Phillip; Zeng, Jinli - In: Insurance / Mathematics & economics 85 (2019), pp. 153-172

Persistent link: https://www.econbiz.de/10011990627

Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - 2019

. Consequently, the conventional approaches to proofs of bootstrap consistency, based on the notion of weak convergence in … probability of the bootstrap statistic, fail to deliver the required validity results. Instead, we use the concept of 'weak … convergence in distribution' to develop and establish novel conditions for validity of the wild bootstrap, conditional on the …

Persistent link: https://www.econbiz.de/10012129325

Rank-based inference tools for copula regression, with property and casualty insurance applications

Côté, Marie-Pier; Genest, Christian; Omelka, Marek - In: Insurance / Mathematics & economics 89 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012133498

A simplified proof of weak convergence in Douglas-Rachford method

Svaiter, Benar Fux - In: Operations research letters 47 (2019) 4, pp. 291-293

Persistent link: https://www.econbiz.de/10012103266