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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

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

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

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

Fiscal sustainability in the presence of structural breaks : does overconfidence on resource exports hurt government's ability to finance debt? ; evidence from Nigeria

Alhaji Jibrilla, Aliyu - In: Cogent economics & finance 4 (2016) 1, pp. 1-27

The sustainability of the Nigerian fiscal deficit along with the role of the dynamics of government revenues and spending in adjusting the size of the deficit is examined using annual data from 1961 to 2014. After allowing for structural breaks, the study finds evidence of a cointegration...

Persistent link: https://www.econbiz.de/10011487675

Measuring the distance between sets of ARMA models

Triacca, Umberto - In: Econometrics : open access journal 4 (2016) 3, pp. 1-11

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of...

Persistent link: https://www.econbiz.de/10011506519

Venture capital and private equity investment strategies in selected European countries

Dziekoński, Krzysztof; Ignatiuk, Sławomir - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 4, pp. 34-45

Private equity and venture capital (PE/VC) funding is the provision of equity capital by financial investors to non-quoted companies with high growth potential. It has a particular emphasis on entrepreneurial activities rather than on mature businesses. PE/VC investors differ on several...

Persistent link: https://www.econbiz.de/10011527286

Improved calendar time approach for measuring long-run anomalies

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

Persistent link: https://www.econbiz.de/10011449859

Have the anomalies following share buybacks disappeared?

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-5

Although several empirical studies report significant positive long-run abnormal stock returns following share buybacks, a recent event study paper claims that such anomalies have disappeared in the most recent decade and this disappearance of abnormal performance is not sensitive to the methods...

Persistent link: https://www.econbiz.de/10011450058

Venture capital and private equity investment preferences in selected countries

Dziekoński, Krzysztof; Ignatiuk, Sławomir - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 128-137

Sources of capital to finance companies in the SME sector is one of the basic conditions for the functioning and development of enterprises, especially in the early phase of their development. Increasingly popular is the use of capital market instruments, Private Equity, Venture Capital,...

Persistent link: https://www.econbiz.de/10011455494

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