Die Verlagerung von der ambulanten zur stationären Pflege ist eine der Hauptursachen für die Ausgabensteigerungen der gesetzlichen Pflegeversicherung. Um diesen so genannten Heimsog zu reduzieren, haben die Pflegekassen ein Modellprojekt Personengebundenes Pflegebudgetinitiiert, das über ein...

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics...

This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...

In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...

Modelling and forecasting the covariance of financial return series has always been a challenge due to the so-called curse of dimensionality. This paper proposes a methodology that is applicable in large dimensional cases and is based on a time series of realized covariance matrices. Some...