Narrow search
Showing 1 - 10 of 461
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Empirical models of imperfect competition : a discussion
Einav, Liran (contributor); Nevo, Aviv (contributor) - 2006
Persistent link: https://www.econbiz.de/10003742957
Cover Image
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
Cover Image
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
Cover Image
Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas (contributor);  … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10003795291
Cover Image
The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper (contributor);  … - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10003795292
Cover Image
Adaptive experimental design using the propensity score
Hahn, Jinyong; Hirano, Keisuke; Karlan, Dean - 2009
Many social experiments are run in multiple waves, or are replications of earlier social experiments. In principle, the sampling design can be modified in later stages or replications to allow for more efficient estimation of causal effects. We consider the design of a two-stage experiment for...
Persistent link: https://www.econbiz.de/10003811509