Related papers: Asymptotics for a nonstandard risk model with mult…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…
We examine a class of stochastic differential inclusions involving multiscale effects designed to solve a class of generalized variational inequalities. This class of problems contains constrained convex non-smooth optimization problems,…
The paper deals with asymptotic properties of the adaptive procedure proposed in the author paper (2007) for estimation of unknown nonparametric regression. We prove that this procedure is asymptotically efficient for a quadratic risk. It…
Under a fourth order moment condition on the branching and a second order moment condition on the immigration mechanisms, we show that an appropriately scaled projection of a supercritical and irreducible continuous state and continuous…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
In this paper we propose a finite-dimensional and deterministic approach to the study of invariant sets of certain nonautonomous differential inclusions naturally arising in the context of random and control dynamical systems, as well as in…
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
We study the asymptotic behaviour of sequences of multivariate random variables representing the number of occurrences of a given set of symbols in a word of length $n$ generated at random according to a rational stochastic model. Assuming…
In this paper, we apply doubly robust approach to estimate, when some covariates are given, the conditional average treatment effect under parametric, semiparametric and nonparametric structure of the nuisance propensity score and outcome…
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail…
A class of estimating functions is introduced for the regression parameter of the Cox proportional hazards model to allow unknown failure statuses on some study subjects. The consistency and asymptotic normality of the resulting estimators…
We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…
A common assumption when modeling queuing systems is that arrivals behave like a Poisson process with constant parameter. In practice, however, call arrivals are often observed to be significantly overdispersed. This motivates that in this…
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…