Michał Baran (2003)
Applicationes Mathematicae
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The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].
Pierre Devolder, Adrien Lebègue (2016)
Dependence Modeling
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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...
Alejandro Balbás (2007)
RACSAM
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Alejandro Balbás, Raquel Balbás (2009)
RACSAM
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Alina Kondratiuk-Janyska, Marek Kałuszka (2006)
Control and Cybernetics
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Seydou N. Sylla, Stéphane Girard, Abdou Ka Diongue, Aldiouma Diallo, Cheikh Sokhna (2015)
Dependence Modeling
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In this paper, a new supervised classification method dedicated to binary predictors is proposed. Its originality is to combine a model-based classification rule with similarity measures thanks to the introduction of new family of exponential kernels. Some links are established between existing similarity measures when applied to binary predictors. A new family of measures is also introduced to unify some of the existing literature. The performance of the new classification method is...
Jakub Szotek (2015)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Jan Palczewski (2003)
Applicationes Mathematicae
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We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Berend Roorda, Jacob Engwerda, Johannes M. Schumacher (2005)
Kybernetika
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For a proper assessment of risks associated with the trading of derivatives, the performance of hedging strategies should be evaluated not only in the context of the idealized model that has served as the basis of strategy development, but also in the context of other models. In this paper we consider the class of so-called interval models as a possible testing ground. In the context of such models the fair price of a derivative contract is not uniquely determined and we characterize...