搜索结果: 1-7 共查到“投资理论 Stochastic”相关记录7条 . 查询时间(0.14 秒)
A three dimensional stochastic Model for Claim Reserving
Solvency II Risk management Claim reserving
2010/10/21
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic...
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Stochastic Switching Games Duopolistic Competition Emissions Markets
2010/10/18
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and prod...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model New York Vilnius Stock Exchanges
2010/10/19
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifetime ruin
2010/10/19
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial ma...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
note evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR
downside risk value-at-risk conditional-VaR stochastic dominance utility
2011/4/6
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some...