Due to the well known fact that market returns are not normally distributed, we use generalized hyperbolic distributions for pricing options in a randomized discrete-time setup. The obtained formulas can be used for pricing options on stock indexes, currencies and futures contracts. We test them...

In this paper we establish a spectral representation of any symmetric stable self-similar process in terms of multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self-similar process into three independent parts: mixed...

In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal...

We recall the historical changes that have taken place in the power markets worldwide and that have led to a partial or full opening for competition. Afterwards we discuss power market structure with special emphasis on differences between financial or other commodity markets on one hand and the...

Our task was to find a model for classifying ROBECO clients into four classes according to their degree of satisfaction. Each client was represented by a vector of 30 variables, which could be split into two groups: variables related to the specific client and socio-geographical variables...

The paper presents empirical results on the discounting of delayed payoffs which show that: (1) the best approximation of the discounting process is a hyperbolic function, (2) (both animals and humans) can reverse their preferences in time. The article presents theoretical conditions on the...

In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic...

We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.

It is common practice in most insurance lines for the coverage to be restricted by a deductible. In the paper we investigate the influence of deductibles on pure risk premiums. We derive simple but practical formulae for premiums under franchise, fix amount, proportional, limited proportional...

In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on general annuities with payments varying in arithmetic and geometric progression which are important basic varying annuities (see Kellison, 1991). They are...