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Motivated by the observation
that the gain-loss criterion, while offering economically meaningful prices of contingent claims,
is sensitive to the reference measure governing the underlying stock price process (a situation
referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure.
Using a dual representation property of polyhedral risk measures
we obtain a one-step, gain-loss criterion based theorem of
asset pricing under ambiguity of...
We study ensembles of similar systems
under load of environmental factors. The phenomenon of adaptation
has similar properties for systems of different nature. Typically,
when the load increases above some threshold, then the adapting
systems become more different (variance increases), but the
correlation increases too. If the stress continues to increase
then the second threshold appears: the correlation achieves
maximal value, and start to decrease, but the variance continue to
increase. In many...
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.
The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models...
The notion of a construction of a fuzzy preference structures is introduced. The properties of a certain class of generated fuzzy implications are studied. The main topic in this paper is investigation of the construction of the monotone generator triplet , which is the producer of fuzzy preference structures. Some properties of mentioned monotone generator triplet are investigated.
The expected value of the share density of the income distribution can be expressed in terms of the Gini index. The variance of the share density of the income distribution is interesting because it gives a relationship between the first and the second order Gini indices. We find an expression for this variance and, as a result, we obtain some nontrivial bounds on these Gini indices. We propose new statistics on the income distribution based on the higher moments of the share density function. These...
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