This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times. Assuming that the time arrival of the first claim follows a generalized...

This study develops a portfolio optimization method based on the Stochastic Dominance (SD) decision criterion and the Empirical Likelihood (EL) estimation method. SD and EL share a distribution-free assumption framework which allows for dynamic and non-Gaussian multivariate return distributions....

French Abstract: Model hyperbolique généralisé modélisant le prix spot d'électricité. Modélisation, calibration et valorisation d'options Européennes. Apres introduction sur le marché de l'électricité et justification du besoin d'une modélisation non gaussienne. On commence par...

Value at Risk (VaR) is the most popular market risk measure as it summarizes in one figure the exposure to different risk factors. It had been around for over a decade when Expected Shortfall (ES) emerged to correct its shortcomings. Both risk measures can be estimated under several models. We...

Central banks and other forecasters have become increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in volatility associated with greater variation in energy prices...

This chapter analyzes the empirical performance of alternative option pricing models using Black and Scholes (1973) as a benchmark. Specifically, we consider the Heston (1993) and Corrado and Su (1996) models and price call options on the S&P 500 index over the period from November 2010 to April...