Das Hattendorffsche Risiko kontinuierlicher Versicherungen mit mehrfachen Auflösungsmöglichkeiten
Das jährliche mathematische Risiko der Versicherungen, bei welchen zwei von einander verschiedene Ereignisse die vorzeitige Auflösung herbeiführen können
Das zweiändrige Wahrscheinlichkeitsgesetz der Abweichungen der Prämienreserve eines Bestandes von Versicherungen mit verschiedenen Auflösungsmöglichkeiten. II
Das zweiändrige Wahrscheinlichkeitsgesetz der Abweichungen der Prämienreserve eines Bestandes von Versicherungen mit verschiedenen Auflösungsmöglichkeiten. I
Did bank capital regulation exacerbate the subprime mortgage crisis?
Die Zufallsverträge in der Wahrscheinlichkeitsrechnung. I
Die Zufallsverträge in der Wahrscheinlichkeitsrechnung. II
Discrete Lundberg-type bounds with actuarial applications
Different kinds of renewal equations repeatedly arise in connection with renewal risk models and variations. It is often appropriate to utilize bounds instead of the general solution to the renewal equation due to the inherent complexity. For this reason, as a first approach to construction of bounds we employ a general Lundberg-type methodology. Second, we focus specifically on exponential bounds which have the advantageous feature of being closely connected to the asymptotic behavior (for large...
Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs
Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning...
Dynamic dependence ordering for Archimedean copulas and distorted copulas
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes , to compare the dependence of given , and given , where . More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.
Dynamic monetary risk measures for bounded discrete-time processes.
Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods
In many western economies, the phenomenon of ageing population implies that the large Pay-As-You-Go (PAYGO) social security system will run into several severe financial difficulties. In that direction, this paper constructs a discrete-time stochastic model for a quasi PAYGO social security system to allow the potential accumulation of a special (contingency) fund, which can oscillate so as to absorb fluctuations in the various system parameters involved. The basic difference equation is analytically...
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...