相关论文: General tax structures and the Levy insurance risk…

We investigate the existence of affine realizations for L\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For…

Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…

The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t)) dt +\sum_{i=1}^{d}G(R(t-))dZ_i(t)$$ with deterministic functions $F,G_1,...,G_d$ and a multivariate L\'evy process $Z=(Z_1,...,Z_d)$ with possibly…

In this note we find a formula for the supremum distribution of spectrally positive or negative L\'evy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two…

The log-Lindley distribution was recently introduced in the literature as a viable alternative to the Beta distribution. This distribution has a simple structure and possesses useful theoretical properties relevant in insurance. Classical…

This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…

In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…

To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…

This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…

Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space…

We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…

The ordinary Levy motion is a random process whose stationary independent increments are statistically self-affine and distributed with a stable probability law characterized by the Levy index alpha, 0 < alpha < 2. The divergence of…

We present a method of generation of exact and explicit forms of one-sided, heavy-tailed Levy stable probability distributions g_{\alpha}(x), 0 \leq x < \infty, 0 < \alpha < 1. We demonstrate that the knowledge of one such a distribution…

We extend the Lindquist-Rachev (LR) option-pricing framework--which values derivatives in markets lacking a traded risk-free bond--by introducing common Levy jump dynamics across two risky assets. The resulting endogenous "shadow" short…

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite…

Microscopic models describing a whole of economic interactions in a closed society are considered. The presence of a tax system combined with a redistribution process is taken into account, as well as the occurrence of tax evasion. In…

We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control its terminal wealth (e.g. at the end of an accounting period)…

In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution…

This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process…

Let $\xi$ be a L\'{e}vy process and $I_\xi(t):=\int_{0}^te^{-\xi_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of L\'{e}vy processes on deterministic horizon. Given that $\lim_{t\to \infty}\xi_t=-\infty$ we evaluate for general…