Remarques sur l'ajustement analytique des tables de mortalité
Repeated games with asymmetric information modeling financial markets with two risky assets
We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a probability distribution p over the two-dimensional integer lattice that is known to both players. Player 1 is informed on the prices of both types of shares, but Player 2 is not. The bids may take any integer values....
Repetitive play of a game against nature
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.
Representation of Itô integrals by Lebesgue/Bochner integrals
In [Yong 2004], it was proved that as long as the integrand has certain properties, the corresponding Itô integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be answered in a more positive and refined way. To do this, we need to characterize the dual of the Banach space of some vector-valued stochastic processes having different integrability with respect to the time variable and the probability measure. The later...
Research of financial early-warning model on evolutionary support vector machines based on genetic algorithms.
Retrospektive Reserveberechnung nach Gruppen gleichen Acquisitionsjahres
Risk and uncertainty aversion with multidimensional consequences.
Risk aversion, prudence and mixed optimal saving models
The paper studies risk aversion and prudence of an agent in the face of a risk situation with two parameters, one described by a fuzzy number, the other described by a fuzzy variable. The first contribution of the paper is the characterization of risk aversion and prudence in mixed models by conditions on the concavity and the convexity of the agent's utility function and its partial derivatives. The second contribution is the building of mixed models of optimal saving and their connection with...
Risk management using var simulation with applications to Bucharest stock exchange.
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with risk measures...
Risk minimization in the model with transaction costs
The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.
Risk objectives in two-stage stochastic programming models
In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn and Römisch...
Risk-Based Decision Making and Risk Management of European Union Regional Programs
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by the Legendre...
Robust insurance mechanisms and the shadow prices of information constraints.
Robust portfolio selection under exponential preferences
We consider an incomplete market with an untradable stochastic factor and a robust investment problem based on the CARA utility. We formulate it as a stochastic differential game problem, and use Hamilton-Jacobi-Bellman-Isaacs equations to derive an explicit representation of the robust optimal portfolio; the HJBI equation is transformed using a substitution of the Cole-Hopf type. Not only the pure investment problem, but also a problem of robust hedging is taken into account: an agent tries to...
Robust recursive estimation of GARCH models
The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated by...
Robustness regions for measures of risk aggregation
One of risk measures’ key purposes is to consistently rank and distinguish between different risk profiles. From a practical perspective, a risk measure should also be robust, that is, insensitive to small perturbations in input assumptions. It is known in the literature [14, 39], that strong assumptions on the risk measure’s ability to distinguish between risks may lead to a lack of robustness. We address the trade-off between robustness and consistent risk ranking by specifying the regions in...
Ruin models with investment income.