Directory UMM :Data Elmu:jurnal:I:Insurance Mathematics And Economics:Vol26.Issue2-3.2000:
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This result can be used by firms to determine the optimal coupon value, based on the profit margin, the market response of the deal-prone segment, and the number of loyal
We will demonstrate that the maximum ODE-stable set is characterized by the combination of the following three conditions: (1) the autoregressive coefficient matrix in the
The focus of this paper however is to examine the structure of the relationship in the short term interest rates, in a fixed exchange rate regime and as in the current case where
Aase, K.K., An equilibrium asset pricing model based on Lévy processes: rela- tions to stochastic volatility, and the.. survival hypothesis
In this paper, stochastic control theory is applied to answer the following question: if an insurer has the possibility to invest part of his surplus into a risky asset, what is
Using some results from risk theory on comonotone risks and stop-loss order, we were able to show that the price of an arithmetic Asian option can be bounded from above by the price
Risk and insurance researchers generally have an awareness of the nature of ANM techniques. Most know, e.g., that genetic algorithms are based on genet- ics and evolution,
A stochastic cash management system is studied in which the cash flow is modeled by the superposition of a Brownian motion with drift and a compound Poisson process with positive
