Application of the Markov processes theory in automobile insurance.
Applications comparées des méthodes d'analyse multicritère UTA
Applications of fluid flow matrix analytic methods in ruin theory -a review.
Applications of the constant elasticity of substitutions functions.
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target...
Approximation des optima de Pareto
Approximation of nonconical preference relations in multiple-criteria decision problems.
Our work field is Multiple-Criteria Decision Making Problems. We study the binary relations, not necessarily conical, that represent the decisor's preferences in the Objective or Outcome Space, we approach them by using cones and we explore under what conditions this approximation can retrieve the entire information of these binary relations.
Approximation of stochastic differential equations driven by α-stable Lévy motion
In this paper we present a result on convergence of approximate solutions of stochastic differential equations involving integrals with respect to α-stable Lévy motion. We prove an appropriate weak limit theorem, which does not follow from known results on stability properties of stochastic differential equations driven by semimartingales. It assures convergence in law in the Skorokhod topology of sequences of approximate solutions and justifies discrete time schemes applied in computer simulations....
Arbitrage and pricing in a general model with flows
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...
Arbitrage for simple strategies
Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.
Arbitrage in a simple model with general transaction costs
We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.
Arbitrage in markets without shortselling with proportional transaction costs
We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.
Archimedeaness and additive utility on totally and ordered semigroups.
Are law-invariant risk functions concave on distributions?
While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions. In the latter case, taking convex combinations corresponds to adding a risk factor. Hence, whereas asking for convexity of risk functions defined on random variables makes sense, convexity is not a good property to require on risk functions defined on distributions. In this paper we study the interplay...
Arrow-Hahn economic models with weakened conditions of continuity
In this article we give descriptions of some economic models that are based on Arrow-Hahn economic model. Finally we consider a model with two major assumptions: first, there is discontinuous excess demand function and, second, if price goes to zero, then it is possible that excess demand may approach infinity. For this last new economic model the existence of quasi-equilibrium is proved.
Asignación de recursos Max-Min: propiedades y algoritmos.
Este trabajo trata el problema de asignación de recursos cuando el objetivo es maximizar la mínima recompensa y las funciones recompensa son continuas y estrictamente crecientes. Se estudian diferentes propiedades que conducen a algoritmos que permiten de forma eficiente la resolución de gran variedad de problemas de esta naturaleza, tanto con variables continuas como discretas.
Assessment of landslide susceptibility by decision trees in the metropolitan area of Istanbul, Turkey.
Asset price dynamics in a financial market with fundamentalists and chartists.
Assets/liabilities portfolio immunization as an optimization problem
Asymptotic and numerical solutions for diffusion models for compounded risk reserveswith dividend payments.