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It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well...
Persistent link: https://www.econbiz.de/10010263064
Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...
Persistent link: https://www.econbiz.de/10010324492
Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot...
Persistent link: https://www.econbiz.de/10011996593
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...
Persistent link: https://www.econbiz.de/10011996643
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...
Persistent link: https://www.econbiz.de/10013200505
This paper is devoted to the theory of perishable inventory systems. In such systems items arrive and stay ‘on the … in that density. Some of the main ingredients of our analysis are level crossing theory and the observation that the …
Persistent link: https://www.econbiz.de/10015402119
A rising competitive pressure for innovations comes along with an increasing number of companies and public research facilities that include external sources of information into the innovation process. This trend towards an open innovation process can be verified empirically. External R&D...
Persistent link: https://www.econbiz.de/10010308406
The EU agenda for improving competitiveness is missing in action. Economic competitiveness has been a central plank in the development of the European Union - a relentless quest for policies that lead to more prosperity and that make European companies in world markets more successful. However,...
Persistent link: https://www.econbiz.de/10014560176
This paper provides a comprehensive theoretical model of the political decision making process. Therein two ideologically different political parties compete for power. Their primary instrument in this competition are programmatic concessions in favor of voters and interest groups. As any...
Persistent link: https://www.econbiz.de/10010301406
This paper examines equilibrium and stability in symmetric two-player cheap-talk games. In particular, we characterize the set of neutrally stable outcomes in finite cheap-talk 2 x 2 coordination games. This set is finite and functionally independent of risk-dominance relations. As the number of...
Persistent link: https://www.econbiz.de/10010334873