There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

An explicit analytic solution for the stationary marginal distribution of a simple threshold autoregressive process is given. Furthermore, closed form expressions for all moments of the process are presented. The derivation is based on the use of the Frobenius-Perron operator

The class of spectrally positive Lévy processes is a frequent choice for modelling loss processes in areas such as insurance or operational risk. Dependence between such processes (for example, between different lines of business) can be modelled with Lévy copulas. This approach is a...

In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of...

Although several types of options on multiple assets are popular in today's financial markets, valuing multi-asset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset...

The inefficiency term in stochastic frontier models is usually assumed to have positive skewness; but when this assumption is not met, efficiency scores are overestimated. Potential endogeneity of model regressors poses an additional empirical challenge and greatly hinders identification of...

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...