相关论文: Premium Calculation Based on Physical Principles
In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous…
Motivated from Deutsch entropic uncertainty principle and several product uncertainty principles, we derive an uncertainty principle for the product of entropies using functions.
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim…
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition…
We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean-variance premium principle, a combination of the expected-value and variance premium principles. We…
We develop a method using a coarse graining of the energy fluctuations of an equilibrium quantum system which produces simple parameterizations for the behaviour of the system. As an application, we use these methods to gain more…
I present an unbiased method of mapping particles to distribution functions and vice versa. This method alone defines the canonical formulation of statistical mechanics, since it can be used to derive the principle of maximum entropy in…
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…
Hamilton's principle is extended to have compatible initial conditions to the strong form. To use a number of computational and theoretical benefits for dynamical systems, the mixed variational formulation is preferred in the systems other…
The paper discusses fundamental problems in mathematical description of social systems based on physical concepts, with so-called statistical social systems being the main subject of consideration. Basic properties of human beings and human…
Physics is based on probabilities as fundamental entities of a mathematical description. Expectation values of observables are computed according to the classical statistical rule. The overall probability distribution for one world covers…
Traditional insurance pricing relies on risk-based principles that ensure actuarial fairness and solvency but do not explicitly account for policyholders' price sensitivity. We formulate insurance pricing as a decision-making problem and…
This note is sketching a simple and natural mathematical construction for explaining the probabilistic nature of quantum mechanics. It employs nonstandard analysis and is based on Feynman's interpretation of the Heisenberg uncertainty…
We consider demand-side economy. Using Caratheodory's approach, we define empirical existence of equation of state (EoS) and coordinates. We found new insights of thermodynamics EoS, the {\it effect structure}. Rules are proposed as…
We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study the well-posedness and prove comparison principle for the…
The aim of this paper is to introduce a field of study that has emerged over the last decade called Bayesian mechanics. Bayesian mechanics is a probabilistic mechanics, comprising tools that enable us to model systems endowed with a…
It is proposed that the mathematical models for any physical systems that are based in first principles, such as conservation laws or balance principles, have some common elements, namely, a space of kinematical states, a space of dynamical…
A new axiomatic characterization with a minimum of conditions for entropy as a function on the set of states in quantum mechanics is presented. Traditionally unspoken assumptions are unveiled and replaced by proven consequences of the…
Our goal here is to discuss the pricing problem of European and American options in discrete time using elementary calculus so as to be an easy reference for first year undergraduate students. Using the binomial model we compute the fair…