Boundedness in topological spaces
Bounds for Value at Risk - The Approach Based on Copulas with Homogeneous Tails.
Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆
In this work we consider a model of an insurance company where the insurer has to face a claims process which follows a Compound Poisson process with finite exponential moments. The insurer is allowed to invest in a bank account and in a risky asset described by Geometric Brownian motion with stochastic volatility that depends on an external factor modelled as a diffusion process. By using exponential martingale techniques we obtain upper and lower...
Bounds on integrals with respect to multivariate copulas
In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider...
Breaking symmetry on complete bipartite graphs of odd size.
Brève communication. Connexité de l'espace des équilibres d'une famille d'économies
Brève communication. Méthode de l'état adjoint par «relaxation»
Brève communication. Une méthode de résolution des problèmes de col
BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game.
Building bridges between Mathematics, Insurance and Finance
Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity...
BV as a dual space