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~subject:"Stochastischer Prozess"
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On a zero-crossing probability
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Stochastischer Prozess
Compound Poisson process
32
Stochastic process
20
compound Poisson process
19
Theorie
14
Theory
14
Option pricing theory
6
Optionspreistheorie
6
Brownian motion
5
Estimation theory
5
Schätztheorie
5
compound poisson process
5
Autocorrelation
4
Autokorrelation
4
Portfolio selection
4
Portfolio-Management
4
Probability theory
4
Risiko
4
Risk
4
Wahrscheinlichkeitsrechnung
4
Actuarial mathematics
3
Compound Poisson Process
3
Ergodicity
3
Finanzmathematik
3
Hamilton–Jacobi–Bellman equation
3
Mathematical finance
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Quasi-maximum likelihood estimation
3
Ruin probability
3
Score test
3
Threshold regression
3
Versicherungsmathematik
3
integro-differential free-boundary problem
3
Control theory
2
Derivat
2
Derivative
2
HJB equation
2
Hamilton-Jacobi-Bellman equation
2
Insurance company
2
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English
20
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Liang, Zhibin
2
Ling, Shiqing
2
Yuen, Kam Chuen
2
Abdessalem, Mehdi Bekralas
1
Akyildirim, Erdinc
1
Avdiu, Kujtim
1
Bi, Junna
1
Burnecki, Krzysztof
1
Chen, Kailing
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Choirat, Christine
1
Eddahbi, M'hamed
1
Fabozzi, Frank J.
1
Giuricich, Mario Nicoló
1
Gollini, Isabella
1
Goncu, Ahmet
1
Hainaut, Donatien
1
Hambuckers, J.
1
Heinrich, Henriette Elisabeth
1
Huang, Zhiyue
1
Kneib, Thomas
1
Langrock, Roland
1
Li, Dong
1
Li, Shilong
1
Mittnik, Stefan
1
Nasroallah, Abdelaziz
1
Ohnishi, Masamitsu
1
Phillips, Peter C. B.
1
Putyatina, Oleksandra
1
Rougier, Jonathan
1
Sass, Jörn
1
Sensoy, Ahmet
1
Seri, Raffaello
1
Silbersdorff, Alexander
1
Strietzel, Philipp Lukas
1
Yang, Yaxing
1
Yin, Chuancun
1
Young, Virginia R.
1
Yu, Jun
1
Yu, Ping
1
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Insurance / Mathematics & economics
3
Risks : open access journal
2
Astin bulletin : the journal of the International Actuarial Association
1
Computational Management Science : CMS
1
Economic modelling
1
Economics letters
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of mathematical finance
1
Quantitative finance
1
Quantitative finance and economics
1
RAIRO / Operations research
1
Risk management decisions and value under uncertainty
1
The journal of operational risk
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ECONIS (ZBW)
20
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1
Optimal proportional reinsurance with common shock dependence
Yuen, Kam Chuen
;
Liang, Zhibin
;
Zhou, Ming
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011396849
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2
Comparison of approximations for compound Poisson processes
Seri, Raffaello
;
Choirat, Christine
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 601-637
Persistent link: https://www.econbiz.de/10011397269
Saved in:
3
Catastrophe options with double compound Poisson processes
Yu, Jun
- In:
Economic modelling
50
(
2015
),
pp. 291-297
Persistent link: https://www.econbiz.de/10011440613
Saved in:
4
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
5
Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
Saved in:
6
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
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7
Rapidly bounding the exceedance probabilities of high aggregate losses
Gollini, Isabella
;
Rougier, Jonathan
- In:
The journal of operational risk
11
(
2016
)
3
,
pp. 97-116
Persistent link: https://www.econbiz.de/10013177167
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8
A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.
;
Kneib, Thomas
;
Langrock, Roland
; …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1679-1698
Persistent link: https://www.econbiz.de/10012259864
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9
Inference for heavy-tailed and multiple-threshold double autoregressive models
Yang, Yaxing
;
Ling, Shiqing
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 318-333
Persistent link: https://www.econbiz.de/10011704205
Saved in:
10
Threshold regression asymptotics : from the compound Poisson process to two-sided Brownian motion
Yu, Ping
;
Phillips, Peter C. B.
- In:
Economics letters
172
(
2018
),
pp. 123-126
Persistent link: https://www.econbiz.de/10012022094
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