Search Results - subject:"Laplace transform"

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10010325273

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Institute - 2004

Persistent link: https://www.econbiz.de/10005450808

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 2004

Persistent link: https://www.econbiz.de/10011256720

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

Persistent link: https://www.econbiz.de/10011334834

Multivariate log-concave distributions as a nearly parametric model

Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz - In: Statistics & Risk Modeling 28 (2011) 3, pp. 277-295

Abstract In this paper we show that the family P d (lc) of probability distributions on ℝ d with log-concave densities satisfies a strong continuity condition. In particular, it turns out that weak convergence within this family entails (i) convergence in total variation distance, (ii)...

Persistent link: https://www.econbiz.de/10014621398

Response of an Unconfined Sloping Aquifer to Constant Recharge and Seepage from the Stream of Varying Water Level

Bansal, Rajeev; Das, Samir - In: Water Resources Management 25 (2011) 3, pp. 893-911

in the aquifer are obtained by solving the seepage model using Laplace transform. The expressions derived here can …

Persistent link: https://www.econbiz.de/10010794353

Radial anomalous diffusion in an annulus

Wang, Shaowei; Zhao, Moli; Li, Xicheng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3397-3403

In this study, time fractional radial diffusion has been modeled in cylindrical coordinates in order to analyze the anomalous diffusion in an annulus. By using an integral transform technique, the analytical solution of the concentration distribution formula is obtained. The establishing of the...

Persistent link: https://www.econbiz.de/10011062156

Variance-Optimal Hedging for Time-Changed Levy Processes

Kallsen, Jan; Pauwels, Arnd - In: Applied Mathematical Finance 18 (2011) 1, pp. 1-28

In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models based on time-changed Levy processes, that is, in the setup of Carr et al. (2003). The solution is derived using results for general affine models in the companion article [Kallsen and Pauwels...

Persistent link: https://www.econbiz.de/10009279071

Truncation functions and Laplace transform

Yen, Ju-Yi; Yor, Marc - In: Statistics & Probability Letters 81 (2011) 3, pp. 417-419

We note the increase in the parameter c of the symmetrized Laplace transform of a random variable truncated at level c …

Persistent link: https://www.econbiz.de/10008868914

Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- Their characteristics and applications

Lochowski, Rafal Marcin - In: Stochastic Processes and their Applications 121 (2011) 2, pp. 378-393

the prices of the asset follows a geometric Brownian motion process. We calculate the Laplace transform with respect to …

Persistent link: https://www.econbiz.de/10008873701