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Discounted penalty function at Parisian ruin for Lévy insurance risk process
Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197
Persistent link: https://www.econbiz.de/10011944136
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Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model
Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks : open access journal 7 (2019) 3/83, pp. 1-21
We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two …-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines …
Persistent link: https://www.econbiz.de/10012127541
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How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability
Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17
In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …
Persistent link: https://www.econbiz.de/10012612558
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The equivalence of two tax processes
Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012169491
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Türkiye'de reel ücretlerin tar modeli ile analizi ve birim kök sınaması
Alp, Elc̜in Aykac̜ (contributor) - 2008
Nonlinear economic variables have been tested for many years with linear models, thus making them insufficient in providing an explanation for real life. As a result of the recently conducted studies, nonlinear time series analyses are observed to be more successful in forming especially the...
Persistent link: https://www.econbiz.de/10003753640
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Modeling industrial evolution in geographical space
Bottazzi, Giulio; Dosi, Giovanni; Fagiolo, Giorgio; … - 2007
In this paper we study a class of evolutionary models of industrial agglomeration with local positive feedbacks, which allow for a wide set of empirically-testable implications. Their roots rest in the Generalized Polya Urn framework. Here, however, we build on a birth-death process over a...
Persistent link: https://www.econbiz.de/10003740316
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10003742083
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Empirical models of imperfect competition : a discussion
Einav, Liran (contributor); Nevo, Aviv (contributor) - 2006
Persistent link: https://www.econbiz.de/10003742957
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On the Pareto type III distribution
Bottazzi, Giulio (contributor) - 2007
This short note analyzes the distributional properties of Pareto Type III random variables. We introduce a three parameters version of the orignal two parameters distribution proposed by Pareto and derive both the density and the characteristic function. The analytic expression of the inverse...
Persistent link: https://www.econbiz.de/10003744940
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An extension of the Blinder-Oaxaca decomposition to a Continuum of Comparison Groups
Ñopo, Hugo (contributor) - 2007
This paper proposes an extension of the Blinder-Oaxaca decomposition from two to a continuum of comparison groups. The proposed decomposition is then estimated for the case of racial wage differences in urban Peru, exploiting a novel data set that allows the capturing of mestizaje (racial...
Persistent link: https://www.econbiz.de/10003776325