The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to...

We consider the problem of cost assessment in the context of switching stochastic regimes. The dynamics of a given asset include a background noise, described by a Brownian motion and a random shock, the impact of which is characterized by changes in the coefficient diffusions. A particular...

We study the perpetual American option characteristics in the case where the underlying dynamics involve a Brownian motion and a point process with a stochastic intensity. No assumption on the distribution of the jump size is made and we work with an arbitrary positive or negative jump. After...

Without its primary flood defenses, a large part of the Netherlands would be swallowed by rivers and the sea. Floods caused by the failure of primary flood defenses are high-impact, low-probability events that are notoriously difficult to insure. Private insurance was long considered unfeasible...

The aim of this paper is to determine the optimal structure of derivatives written on an illiquid asset, such as a catastrophic or a weather event. This transaction involves two agents: a bank which wants to hedge its initial exposure towards this illiquid asset and an investor which may buy the...