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

Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return distributions, we generalize the return-risk…

We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function…

We prove a universal approximation theorem that allows to approximate continuous functionals of c\`adl\`ag (rough) paths uniformly in time and on compact sets of paths via linear functionals of their time-extended signature. Our main…

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

The constitutive modelling of granular, porous and quasi-brittle materials is based on yield (or damage) functions, which may exhibit features (for instance, lack of convexity, or branches where the values go to infinity, or false elastic…

Levy flights and subdiffusive processes and their properties are discussed. We derive the space- and time-fractional transport equations, and consider their solutions in external potentials. An extensive list of references is included.

We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…

We investigate the role of reinsurance in maximizing the wealth of an insurance company. We use Liu's uncertainty theory (B. Liu, 2007) for the problem modeling and follow-up computations. The uncertainty measure of ruin for the insurance…

Studying the behaviour of Markov processes at boundary points of the state space has a long history, dating back all the way to William Feller. With different motivations in mind entrance and exit questions have been explored for different…

We consider the performance of non-optimal hedging strategies in exponential L\'evy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform…

An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…

For the sum process $X=X^1+X^2$ of a bivariate L\'evy process $(X^1,X^2)$ with possibly dependent components, we derive a quintuple law describing the first upwards passage event of $X$ over a fixed barrier, caused by a jump, by the joint…

We prove a generalization to the context of real geometry of an intersection formula for the vanishing cycle functor, which in the complex context is due to Dubson, Ginsburg, Le and Sabbah (after a conjecture of Deligne). It is also a…

Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the "global" concepts of the risk and probability premia has reinforced its attractiveness. This paper…

In this paper, we consider a class of transportation problems which arises in sample surveys and other areas of statistics. The associated cost matrices of these transportation problems are of special structure. We observe that the…

We consider an optimal liquidation problem with infinite horizon in the Almgren-Chriss framework, where the unaffected asset price follows a Levy process. The temporary price impact is described by a general function which satisfies some…

In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also…

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…

We consider the concept of a generalised manifold in the O(d,d) setting, i.e., in double geometry. The conjecture by Hohm and Zwiebach for the form of finite generalised diffeomorphisms is shown to hold. Transition functions on overlaps are…

The thesis divides into three parts. The first is devoted to a careful study of very convenient superspace conventions which are a basic tool for the second part. A theorem is formulated that gives a clear statement about when the signs of…