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Fractionally integrated COGARCH processes

Haug, Stephan; Klüppelberg, Claudia; Straub, German - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 599-628

Persistent link: https://www.econbiz.de/10011988000

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

Prediction in a non-homogeneous Poisson cluster model

Matsui, Muneya - In: Insurance / Mathematics & economics 55 (2014), pp. 10-17

Persistent link: https://www.econbiz.de/10010366215

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Prediction of Lévy-driven CARMA processes

Brockwell, Peter J.; Lindner, Alexander - In: Journal of econometrics 189 (2015) 2, pp. 263-271

Persistent link: https://www.econbiz.de/10011504524

Optimal asset allocation for a bank under risk control

Perera, Ryle S.; Sato, Kimitoshi - In: International journal of financial engineering 5 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011923030

Actuarial geometry

Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44

The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This...

Persistent link: https://www.econbiz.de/10011687307

Double asymptotics for explosive continuous time models

Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 193 (2016) 1, pp. 35-53

Persistent link: https://www.econbiz.de/10011704761

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204

Persistent link: https://www.econbiz.de/10011630650