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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

Normalization in Econometrics

Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao A. - 2014

The issue of normalization arises whenever two different values for a vector of unknown parameters imply the identical economic model. A normalization does not just imply a rule for selecting which point, among equivalent ones, to call the maximum likelihood estimator (MLE). It also governs the...

Persistent link: https://www.econbiz.de/10014048577

Sequential Probability Ratio Tests : Conservative and Robust

Kleijnen, Jack P. C.; Shi, Wen - 2022

In practice, most computers generate simulation outputs sequentially, so it is attractive to analyze these outputs through sequential statistical methods such as sequential probability ratio tests (SPRTs). We investigate several SPRTs for choosing between two hypothesized values for the mean...

Persistent link: https://www.econbiz.de/10014123395

Information-Theoretic Deconvolution Approximation of Treatment Effect Distribution

Wu, Ximing; Perloff, Jeffrey M. - 2006

This study proposes an information-theoretic deconvolution method to approximate the entire distribution of individual treatment effect. This method uses higher-order information implied by the standard average treatment effect estimator to construct a maximum entropy approximation to the...

Persistent link: https://www.econbiz.de/10014058130

Index Options Realized Returns Distributions from Passive Investment Strategies

Dapena, José Pablo - 2016

Few papers provide research about options returns, and the few available are focused in the analysis from the perspective of the long side of the option contract, i.e. the buyer that pays the price and her expected and realized option return. The main point of our research work is to provide a...

Persistent link: https://www.econbiz.de/10012998750

Lognormal vs Normal Volatilities and Sensitivities in Practice

Dimitroff, Georgi - 2016

The advent of close to zero or even negative rates in major currencies has made the traditional lognormal Black-Scholes-Merton volatility as a representation of option prices in the interest rate market obsolete. Recently more and more cap/floor and even swaption prices in major currencies are...

Persistent link: https://www.econbiz.de/10013003045

A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

Casarin, Roberto - 2015

In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and...

Persistent link: https://www.econbiz.de/10013020748

Non-Parametric Modelling of Heavy Tails and Skewness of Box-Office Revenues

Voudouris, Vlasios - 2010

Using box-office data for movies released in the US market in the 1990s and 1930s, we establish probabilistic statements for the box-office revenues that the market at these instances dictate. Here, we propose a smooth and non-parametric model of heavy tails and skewness using the GAMLSS...

Persistent link: https://www.econbiz.de/10013139535

Bayesian Estimation of Truncated Data with Applications to Operational Risk Measurement

Zhou, Xiaoping - 2014

Data insufficiency and reporting threshold are two main issues in operational risk modelling. When these conditions are present, maximum likelihood estimation (MLE) may produce very poor parameter estimates. In this study, we first investigate four methods to estimate the parameters of truncated...

Persistent link: https://www.econbiz.de/10013054218

Modelling Dependence of Extreme Price Observations in Connected Electricity Markets Using Tail Copulas

Aderounmu, Adebayo A. - 2014

Spot electricity prices are very volatile, particularly due to the fact that electricity cannot be economically stored and requires immediate delivery. However, the inability to store electricity means that fluctuations in demand and supply are often transmitted directly into spot prices of...

Persistent link: https://www.econbiz.de/10013061457