Related papers: General tax structures and the Levy insurance risk…
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As recently suggested, geometric convexity may be a sensible…
We use a topological framework to study descendent Gromov-Witten theory in higher genus, non-toric settings. Two geometries are considered: surfaces of general type and the Enriques Calabi-Yau threefold. We conjecture closed formulas for…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…
In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models…
We consider de Finetti's problem for spectrally one-sided L\'evy risk models with control strategies that are absolutely continuous with respect to the Lebesgue measure. Furthermore, we consider the version with a constraint on the time of…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
In Part I of this paper, we introduced a class of certain algebras of finite dimension over a field. All these algebras are split, symmetric and local. Here we continue to investigate their Loewy structure. We show that in many cases their…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are…
This survey article has two components. The first part gives a gentle introduction to Serre's notion of $G$-complete reducibility, where $G$ is a connected reductive algebraic group defined over an algebraically closed field. The second…
Insurance risks data typically exhibit skewed behaviour. In this paper, we propose a Bayesian approach to capture the main features of these datasets. This work extends the methodology introduced in Villa and Walker (2014a) by considering…
We use the theory of Bernstein functions to analyze power law tail behavior with log-periodic perturbations which corresponds to self-similarity of the Bernstein functions. Such tail behavior appears in the context of semistable L\'evy…
We construct a mathematical theory of Witten's Gauged Linear Sigma Model (GLSM). Our theory applies to a wide range of examples, including many cases with non-Abelian gauge group. Both the Gromov-Witten theory of a Calabi-Yau complete…
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
Scale functions play a central role in the fluctuation theory of spectrally negative L\'evy processes and often appear in the context of martingale relations. These relations are often complicated to establish requiring excursion theory in…
We analyze two different confining mechanisms for L\'{e}vy flights in the presence of external potentials. One of them is due to a conservative force in the corresponding Langevin equation. Another is implemented by Levy-Schroedinger…
A classical approach to investigate a closed projective scheme $W$ consists of considering a general hyperplane section of $W$, which inherits many properties of $W$. The inverse problem that consists in finding a scheme $W$ starting from a…
In mathematical finance, Levy processes are widely used for their ability to model both continuous variation and abrupt, discontinuous jumps. These jumps are practically relevant, so reliable inference on the feature that controls jump…