Displaying similar documents to “On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility”

General proportional mean residual life model

Mohamed Kayid, Salman Izadkhah, Dalal ALmufarrej (2016)

Applications of Mathematics

Similarity:

By considering a covariate random variable in the ordinary proportional mean residual life (PMRL) model, we introduce and study a general model, taking more situations into account with respect to the ordinary PMRL model. We investigate how stochastic structures of the proposed model are affected by the stochastic properties of the baseline and the mixing variables in the model. Several characterizations and preservation properties of the new model under different stochastic orders and...

Models for stochastic mortality

Jan Iwanik (2007)

Applicationes Mathematicae

Similarity:

This paper is an attempt to present and analyse stochastic mortality models. We propose a couple of continuous-time stochastic models that are natural generalizations of the Gompertz law in the sense that they reduce to the Gompertz function when the volatility parameter is zero. We provide a statistical analysis of the available demographic data to show that the models fit historical data well. Finally, we give some practical examples for the multidimensional models.

Reinsurance-a new approach

Adam Paszkiewicz, Jakub Olejnik (2010)

Banach Center Publications

Similarity:

We describe a new model of multiple reinsurance. The main idea is that the reinsurance premium is paid conditionally. It is motivated by some analysis of the ultimate price of the reinsurance contract. For simplicity we assume that the underlying risk pricing functional is the L₂-norm. An unexpected relation to the general theory of sample regularity of stochastic processes is given.