Showing 1 - 10 of 35
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a...
Persistent link: https://www.econbiz.de/10005374720
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a...
Persistent link: https://www.econbiz.de/10005098562
Persistent link: https://www.econbiz.de/10005411650
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
Persistent link: https://www.econbiz.de/10011030554
We present two new classes of stationary max-stable random fields. For the first class, we use the spectral representation due to Schlather (2002) and assume that the stationary process used in the representation is proportional to a power of a max-stable random field. We derive the finite...
Persistent link: https://www.econbiz.de/10011039862
We present a model of market-making in which dealers differ by their current inventory positions and by their preferencing agreements. Under preferencing, dealers receive captive orders that they guarantee to execute at the best price. We show that preferencing raises the inventory holding costs...
Persistent link: https://www.econbiz.de/10005021616
We consider two continuous-time Gaussian processes, one being partially correlated to a time-lagged version of the other. We first give the limiting spectral distribution for the covariance matrices of the increments of the processes when the span between two observations tends to zero. Then, we...
Persistent link: https://www.econbiz.de/10008861560
Using a market-making inventory model, we analyze the impact of order preferencing on dealers' quoting behavior by changing the degree of quote disclosure. We find that preferenced orders raise the inventory-holding costs of preferenced dealers, making them less able to post attractive quotes....
Persistent link: https://www.econbiz.de/10008864947
In this paper, we provide a model which accommodates the assumption of a continuous efficient price with the inherent properties of ultra-high-frequency transaction data (price discreteness, irregular temporal spacing, diurnal patterns...). Our approach consists in designing a stochastic...
Persistent link: https://www.econbiz.de/10009148706
In the Solvency II framework, insurance companies need to calculate the Best Estimate valuation of Liabilities (BEL) and the Market Value Margin (MVM) for non-hedgeable insurance-technical risks. The Cost-of-Capital approach defines the MVM as the present value of the current and future Solvency...
Persistent link: https://www.econbiz.de/10010681888