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Hurricane lifespan modeling through a semi-Markov parametric approach

Masala, Giovanni - In: Journal of forecasting 32 (2013) 4, pp. 369-384

Persistent link: https://www.econbiz.de/10009775497

Risk management of pension fund: A model for salary evolution

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-17

In this paper, we propose a semi-Markov chain to model the salary levels of participants ina pension scheme. The aim of the models is to understand the evolution in time of the salary of activeworkers in order to implement it in the construction of the actuarial technical balance sheet. It...

Persistent link: https://www.econbiz.de/10013200222

Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

Persistent link: https://www.econbiz.de/10011812746

A copula-based Markov reward approach to the credit spread in the European Union

D'Amico, Guglielmo; Petroni, Filippo; Regnalt, Philippe; … - In: Applied mathematical finance 26 (2019) 4, pp. 359-386

Persistent link: https://www.econbiz.de/10012210396

Risk management of pension fund : a model for salary evolution

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: International Journal of Financial Studies : open … 7 (2019) 3/44, pp. 1-17

Persistent link: https://www.econbiz.de/10012150149

Change point dynamics for financial data : an indexed Markov chain approach

D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo - In: Annals of finance 15 (2019) 2, pp. 247-266

Persistent link: https://www.econbiz.de/10012058237