Showing 51 - 60 of 175
There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each...
Persistent link: https://www.econbiz.de/10005076137
We study S-shaped utility maximization for the standard portfolio selection problem with one risky and one risk-free asset. We derive a mean-variance criterium of choice, which preserves reference dependence and the reflection effect. Subsequently, we study diversification possibilities and...
Persistent link: https://www.econbiz.de/10005076138
In this paper a set of desirable properties for measures of positive dependence of ordered n-tuples of continuous random variables (n = 2) is proposed and a class of multivariate positive dependence measures is introduced. We consider the comonotonicity dependence structure as the strong...
Persistent link: https://www.econbiz.de/10005076139
This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting...
Persistent link: https://www.econbiz.de/10005076140
We compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where allocative and informational issues...
Persistent link: https://www.econbiz.de/10005076141
This paper studies a bilateral trading setting where the two agents are not ex-ante identified, in the sense that each of them may end up being a net buyer or a net seller. We derive a sufficient condition that ensures the existence of an (ex-post) efficient, (ex-post) budget balanced, (interim)...
Persistent link: https://www.econbiz.de/10005076143
In this paper we focused our attention to the study of an excess of loss reinsurance with reinstatements, a problem previously studied by Sundt [5] and, more recently, by Mata [4] and HÄurlimann [3]. As it is well-known, the evaluation of pure premiums requires the knowledge of the claim size...
Persistent link: https://www.econbiz.de/10005076144
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures,...
Persistent link: https://www.econbiz.de/10005076146
This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different firms....
Persistent link: https://www.econbiz.de/10005076147
In the 2-period Balanced Traveling Salesman Problem (2B-TSP), the customers must be visited over a period of two days: some must be visited daily, and the others on alternate days (even or odd days); moreover, the number of customers visited in every tour must be balancedâ, i.e. it must be the...
Persistent link: https://www.econbiz.de/10005700790