Search Results - subject:"convex order"

Modeling the bid and ask prices of options

Madan, Dilip B.; Schoutens, Wim; Wang, King - In: The journal of computational finance : JFC 26 (2023) 4, pp. 3-36

Persistent link: https://www.econbiz.de/10014486879

A two-product newsvendor problem with partial demand substitution

Lei, Lei; Ru, Jun; Shi, Ruixia; Zhang, Jun - In: Production and operations management : the flagship … 31 (2022) 3, pp. 1157-1173

Persistent link: https://www.econbiz.de/10013164067

Consistent upper price bounds for exotic options

Bäuerle, Nicole; Schmithals, Daniel Matthias - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10012650310

Testing for more positive expectation dependence with application to model comparison

Denuit, Michel; Trufin, Julien; Verdebout, Thomas - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 163-172

Persistent link: https://www.econbiz.de/10012793921

Autocalibration and Tweedie-dominance for insurance pricing with machine learning

Denuit, Michel; Charpentier, Arthur; Trufin, Julien - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 485-497

Persistent link: https://www.econbiz.de/10012793938

Sharp convex bounds on the aggregate sums: An alternative proof

Yin, Chuancun; Zhu, Dan - In: Risks 4 (2016) 4, pp. 1-8

It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an...

Persistent link: https://www.econbiz.de/10011709570