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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

Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR

Maglione, Federico - 2015

Persistent link: https://www.econbiz.de/10011632222

On the (ab)use of Omega?

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - 2015

Persistent link: https://www.econbiz.de/10011632567

The effects of largest claim and excess of loss reinsurance on a company's ruin time and valuation

Fan, Yuguang; Griffin, Philip S.; Maller, Ross A.; … - In: Risks : open access journal 5 (2017) 1, pp. 1-27

We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer’s point of view is documented in...

Persistent link: https://www.econbiz.de/10011636215

On the compound binomial risk model with delayed claims and randomized dividends

Wat, Kam Pui; Yuen, Kam Chuen; Li, Wai Keung; Wu, Xueyuan - In: Risks : open access journal 6 (2018) 1, pp. 1-13

function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial …

Persistent link: https://www.econbiz.de/10011811540

Misspecification tests for log-normal and over-dispersed poisson chain-ladder models

Harnau, Jonas - In: Risks : open access journal 6 (2018) 2, pp. 1-25

Despite the widespread use of chain-ladder models, so far no theory was available to test for model specification. The …

Persistent link: https://www.econbiz.de/10011811722

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562

Persistent link: https://www.econbiz.de/10011795262

A flocking-based approach for distributed stochastic optimization

Pu, Shi; Garcia, Alfredo - In: Operations research 66 (2018) 1, pp. 267-281

Persistent link: https://www.econbiz.de/10011818632

Stochastic frontiers with a Rayleigh distribution

Hajargasht, Gholamreza - In: Journal of productivity analysis 44 (2015) 2, pp. 199-208

Persistent link: https://www.econbiz.de/10011560644

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779