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We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...
Persistent link: https://www.econbiz.de/10013093086
chain services and economic indicators of the retail trade network. Using the anyLogistix software tool, a simulation model … because they can be eliminated in a short time. The simulation results show that the most tangible risks for the food retail … and optimization methods, as well as simulation modeling. …
Persistent link: https://www.econbiz.de/10012704024
the Box–Muller simulation method. In passing, we prove an extension of the sector and circle number functions. …
Persistent link: https://www.econbiz.de/10011687875
The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non …-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We … simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back …
Persistent link: https://www.econbiz.de/10011811737
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …
Persistent link: https://www.econbiz.de/10011890804
simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of … Ornstein-Uhlenbeck type. We illustrate the applicability of the theoretical findings and the simulation algorithms in the …
Persistent link: https://www.econbiz.de/10013368314
In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the...
Persistent link: https://www.econbiz.de/10010399718
The aim of this study was to examine the impact of adopting information and communication technologies (ICT) on the development of African stock exchanges. The study examined a panel of 11 African stock exchanges for the period 2008-2017 and employed the generalised method of moments (GMM) to...
Persistent link: https://www.econbiz.de/10012805909
scenarios. We illustrate the use of our model by conducting scenario analysis based on Monte Carlo simulation, but the model …
Persistent link: https://www.econbiz.de/10011300329
In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...
Persistent link: https://www.econbiz.de/10010199021