Related papers: General tax structures and the Levy insurance risk…
After a short excursion from discovery of Brownian motion to the Richardson "law of four thirds" in turbulent diffusion, the article introduces the L\'{e}vy flight superdiffusion as a self-similar L\'{e}vy process. The condition of…
We consider an auction type equilibrium model with an insider in line with the one originally introduced by Kyle in 1985 and then extended to the continuous time setting by Back in 1992. The novelty introduced with this paper is that we…
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations…
We perform a In\"on\"u--Wigner contraction on Gaudin models, showing how the integrability property is preserved by this algebraic procedure. Starting from Gaudin models we obtain new integrable chains, that we call Lagrange chains,…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We introduce a class of distributions originating from an exponential family and having a property related to the strict stability property. A characteristic function representation for this family is obtained and its properties are…
We use the exterior product of double forms to reformulate celebrated classical results of linear algebra about matrices and bilinear forms namely the Cayley-Hamilton theorem, Laplace expansion of the determinant, Newton identities and…
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and undershoots at first passage, the minimum, the maximum and…
Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…
In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This is done when the underlying process is a finite variation…
Let $X$ be a real L\'evy process and let $\Xpos $ be the process conditioned to stay positive. We assume that $ 0 $ is regular for $(-\infty, 0)$ and $(0, +\infty) $ with respect to $X$. Using elementary excursion theory arguments, we…
A generalized Kullback-Leibler relative entropy is introduced starting with the symmetric Jackson derivative of the generalized overlap between two probability distributions. The generalization retains much of the structure possessed by the…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
One popular approach to option pricing in L\'evy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
This paper analyzes optimal insurance design when the insurer internalizes the effect of coverage on third-party service prices. A monopolistic insurer contracts with risk-averse agents who have sequential two-dimensional private…
We use sequences which depend on two parameters to define families of ultradifferentiable functions which contain Gevrey classes. It is shown that such families are closed under superposition, and therefore inverse closed as well.…
Current reporting standards for insurers require a decomposition of observed profits and losses in such a way that changes in the insurer's balance sheet can be attributed to specified risk factors. Generating such a decomposition is a…
Generalized linear models (GLMs) form one of the most popular classes of models in statistics. The gamma variant is used, for instance, in actuarial science for the modelling of claim amounts in insurance. A flaw of GLMs is that they are…