Qualitative Investigation of a Model of Economic Growth
Quantifying the impact of different copulas in a generalized CreditRisk + framework An empirical study
Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit loss distribution...
Quantile hedging for basket derivatives
The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results to the widely traded derivatives like digital, quantos, outperformance and spread options is shown.
Quantile hedging on markets with proportional transaction costs
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].
Quantitative spatial analysis of randomly situated surface water bodies through f- spectra.
Quasi-Bayesian behaviour: a more realistic approach to decision making?
In this paper the theoretical and practical implications of dropping -from the basic Bayesian coherence principles- the assumption of comparability of every pair of acts is examined. The resulting theory is shown to be still perfectly coherent and has Bayesian theory as a particular case. In particular we question the need of weakening or ruling out some of the axioms that constitute the coherence principles; what are their practical implications; how this drive to the notion of partial information...
Quasi-noyau pour une économie d'échanges comprenant des biens indivisibles
Quasi-ordres généralisés et représentation numérique
Quasivariational inequalities for a dynamic competitive economic equilibrium problem.
Quelques modèles en analyse des réseaux sociaux. Présentation du numéro
Quelques notes et résultats nouveaux sur le problème d'équilibre d'un oligopole
Quelques propriétés générales des systèmes sériels de représentation proportionnelle
Les systèmes «sériels» de représentation proportionnelle partent d'une table de quotients (des chiffres électoraux par une suite croissante de diviseurs) et attribuent les sièges disponibles aux plus grands de ces quotients. Le système Dhondt, pour lequel le n-ième diviseur vaut n, occupe une place centrale dans l'ensemble des systèmes sériels ; d'une part, il est le seul qui attribue toujours à chaque liste au moins la partie entière de son quotient électoral ; d'autre part, il sert d'étalon «naturel»...
Quelques remarques sur la méthode de Lidston dans l'assurance sur la vie. II.
Quelques remarques sur la méthode de Lidston dans l'assurance sur la vie. I
Queue systems with balking : a stochastic model of price discrimination