An explicit formula for ruin probability in a discrete time risk model with interest rare is found under the assumption that claims follow a hyperexponential distribution.
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
In this paper we consider optimal trading processes in economic systems. The analysis is based on accounting for irreversibility factor using wealth function concept.
Two extensions of the classical scheduling model with two parallel identical machines and a partially ordered set of unit execution time tasks are considered. It is well known that the Coffman-Graham algorithm constructs ...
Lie group symmetry methods provide a powerful tool for the analysis of PDEs. Over the last thirty years, considerable progress has been made in the development of this field. In this article, we provide a brief introduction ...
The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional ...
The context for this article is a continuous financial market consisting of a risk-free savings account and a single non-dividend-paying risky security. We present two concrete models for this market, in which strict local ...
This discussion revisits Tong and Lim's seminal 1980 paper on the SETAR model in the context of advances in computation since that time. Using the Canadian lynx data set from that paper, it compares exact maximum likelihood ...
The risk encountered in many environmental problems appears to exhibit special two-sided characteristics. For instance, in a given area and in a given period, farmers do not want to see too much or too little rainfall. ...