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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
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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
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Convergence Properties of the Likelihood of Computed Dynamic Models
Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2014
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...
Persistent link: https://www.econbiz.de/10014048572
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Conditional Phase-Type Distribution Under Doubly Stochastic Jump Markov Processes with Observed Covariates
Surya, Budhi - 2017
Phase-type distribution has been one of the most important probabilistic tools in the analysis of complex stochastic system evolution. However, in their empirical study, Frydman (2005) and Frydman and Schuermann (2008) found that the inclusion of available credit rating information helps improve...
Persistent link: https://www.econbiz.de/10012965202
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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...
Persistent link: https://www.econbiz.de/10013030477
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Mixing Probabilities, Priors and Kernels via Entropy Pooling
Meucci, Attilio - 2012
We show how to mix machine learning signals such as kernel smoothing and fuzzy memberships via the Entropy Pooling approach by Meucci (2008). We illustrate a case study, where we overlay an exponentially time-decayed prior to a pseudo-Gaussian kernel that emphasizes market scenarios where...
Persistent link: https://www.econbiz.de/10013113859
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Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis
Flint, Emlyn James - 2019
At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...
Persistent link: https://www.econbiz.de/10012893987
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Reproducibility Probability Testing Kills P-value
De Martini, Daniele - 2019
Reproducibility is an absolute necessity in experimental sciences. In fact, the randomness of scientific findings based on P-values, that are the vast majority, should be taken into account. When a significance threshold α is fixed, the outcome of the test has a Bernoullian nature, i.e. is in...
Persistent link: https://www.econbiz.de/10012897074
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Estimation and Stress-Testing via Time- and Market-Conditional Flexible Probabilities
Meucci, Attilio - 2014
In the Flexible Probabilities approach, given the historical distribution (histogram) of the returns of a portfolio, we can stress-test the portfolio under different time periods and market environments, by adjusting the relative weights (Flexible Probabilities) of the historical returns in the...
Persistent link: https://www.econbiz.de/10013063227