Related papers: Possibilistic investment models with background ri…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
The theory of fuzzy mathematics has been proven very effective for defining and solving optimization problems. Fuzzy quadratic programming (FQP) is a consequence of this approach. In this paper, an algorithm has been proposed to solve FQP…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
Software requirement selection is to find an optimal set of requirements that gives the highest value for a release of software while keeping the cost within the budget. However, value-related dependencies among software requirements may…
Forward-looking correlations are of interest in different financial applications, including factor-based asset pricing, forecasting stock-price movements or pricing index options. With a focus on non-FX markets, this paper defines necessary…
The rough-set theory proposed by Pawlak, has been widely used in dealing with data classification problems. The original rough-set model is, however, quite sensitive to noisy data. Tzung thus proposed deals with the problem of producing a…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
Trustworthiness especially for service oriented system is very important topic now a day in IT field of the whole world. Certain Trust Model depends on some certain values given by experts and developers. Here, main parameters for…
We compare two statistical models of three binary random variables. One is a mixture model and the other is a product of mixtures model called a restricted Boltzmann machine. Although the two models we study look different from their…
A fractional fuzzy Potts measure is a probability distribution on spin configurations of a finite graph $G$ obtained in two steps: first a subgraph of $G$ is chosen according to a random cluster measure $\phi_{p,q}$, and then a spin…
Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2.…
The work deals with the risk assessment theory. An unitary risk algorithm is elaborated. The algorithm is based on parallel curves. The basic curve of risk is a hyperbolic curve, obtained as a multiplication between the probability of…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…
Fuzzy clustering methods allow the objects to belong to several clusters simultaneously, with different degrees of membership. However, a factor that influences the performance of fuzzy algorithms is the value of fuzzifier parameter. In…
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…
Tensor models can be regarded as theories of dynamical fuzzy spaces, and provide background independent theories of space. Their classical solutions correspond to classical background spaces, and the small fluctuations around them can be…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…