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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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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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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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Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10010295887
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Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.
López Cabrera, Brenda; Schulz, Franziska - 2016
The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...
Persistent link: https://www.econbiz.de/10011538153
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Towards a taxonomy for crypto assets
Fry, John; Ibiloye, Olamide - In: Cogent economics & finance 11 (2023) 1, pp. 1-9
We explore the taxonomy of cryptocurrencies and integrate our analysis with traditional ways of understanding financial assets. We thus classify cryptocurrencies using the time series and distributional properties of returns. Cryptocurrencies appear inherently speculative in nature. The result...
Persistent link: https://www.econbiz.de/10014500801
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Fast and Simple Adaptive Elicitations : Experimental Test for Probability Weighting
Bertani, Nicolò - 2020
We propose a new adaptive procedure for the measurement of decision models. Our procedure bounds the function of the decision model, sequentially halves the maximal distance between its bounds, and incrementally restricts the feasible space of associated parameters. It relies on approximating...
Persistent link: https://www.econbiz.de/10012837764
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Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis
Flint, Emlyn James - 2019
At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...
Persistent link: https://www.econbiz.de/10012893987
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Reproducibility Probability Testing Kills P-value
De Martini, Daniele - 2019
Reproducibility is an absolute necessity in experimental sciences. In fact, the randomness of scientific findings based on P-values, that are the vast majority, should be taken into account. When a significance threshold α is fixed, the outcome of the test has a Bernoullian nature, i.e. is in...
Persistent link: https://www.econbiz.de/10012897074
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Conditional Phase-Type Distribution Under Doubly Stochastic Jump Markov Processes with Observed Covariates
Surya, Budhi - 2017
Phase-type distribution has been one of the most important probabilistic tools in the analysis of complex stochastic system evolution. However, in their empirical study, Frydman (2005) and Frydman and Schuermann (2008) found that the inclusion of available credit rating information helps improve...
Persistent link: https://www.econbiz.de/10012965202