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Displaying similar documents to “Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model”

Quantile hedging on markets with proportional transaction costs

Michał Baran (2003)

Applicationes Mathematicae

Similarity:

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].

Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Pierre Devolder, Adrien Lebègue (2016)

Dependence Modeling

Similarity:

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...

A classification method for binary predictors combining similarity measures and mixture models

Seydou N. Sylla, Stéphane Girard, Abdou Ka Diongue, Aldiouma Diallo, Cheikh Sokhna (2015)

Dependence Modeling

Similarity:

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...

Generalized CreditRisk+ model and applications

Jakub Szotek (2015)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

Similarity:

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.

Arbitrage and pricing in a general model with flows

Jan Palczewski (2003)

Applicationes Mathematicae

Similarity:

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...