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Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197

Persistent link: https://www.econbiz.de/10011944136

Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks : open access journal 7 (2019) 3/83, pp. 1-21

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two …-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines …

Persistent link: https://www.econbiz.de/10012127541

The equivalence of two tax processes

Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012169491

How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …

Persistent link: https://www.econbiz.de/10012612558

The impact of the use of forecasts in information sets

Gallo, Giampiero M.; Granger, C. W. J.; Jeon, Yongil - 1999

Persistent link: https://www.econbiz.de/10001429362

Nonparametric tests for common values at first-price sealed bid auctions

Haile, Philip A.; Hong, Han; Shum, Matthew - 2003

Persistent link: https://www.econbiz.de/10001833591

Simulation and estimation of hedonic models

Heckman, James J.; Matzkin, Rosa L.; Nesheim, Lars - 2003

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

Persistent link: https://www.econbiz.de/10001784247

Bio-ecological diversity vs. socio-economic diversity : a comparison of existing measures

Maignan, Carole; Ottaviano, Gianmarco I. P.; Pinelli, Dino - 2003

Persistent link: https://www.econbiz.de/10001743064

Subjektive Daten in der empirischen Wirtschaftsforschung : Probleme und Perspektiven

Winkelmann, Rainer (contributor) - 2002 - [Elektronische Ressource]

Preise, Einkommen, und Nachfrage – die zentralen zu erklaerenden Variablen in den Wirtschaftswissenschaften sind objektiv messbar. Daneben gibt es jedoch zwei nicht minder zentrale Groessen, Erwartungen und Praeferenzen, die sich einer direkten objektiven Messung entziehen. Es sind subjektive...

Persistent link: https://www.econbiz.de/10001729415

Fat-Tail Distributions and Business-Cycle Models

Ascari, Guido; Fagiolo, Giorgio; Roventini, Andrea - 2012

Recent empirical findings suggest that macroeconomic variables are seldom normally distributed. For example, the distributions of aggregate output growth-rate time series of many OECD countries are well approximated by symmetric exponential-power (EP) densities, with Laplace fat tails. In this...

Persistent link: https://www.econbiz.de/10014173972