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A review of analytical and computational properties of the mixed Erlang distribution is given in the context of risk analysis. Basic distributional properties are discussed, and examples of members of the class are provided. Its use in aggregate claims, stop‐loss analysis, and risk measures is...
This paper discusses a new methodology for modeling non‐Gaussian time series with long‐range dependence. The class of models proposed admits continuous or discrete data and considers the conditional variance as a function of the conditional mean. These types of models are motivated by empirical...
This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the...
A generalization of the Gerber–Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin‐related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further...
We are concerned with investment decisions when the spanning asset that correlates with the investment value undergoes a stochastic volatility dynamics. The project value in this case corresponds to the value of an American call with dividends, which can be priced by solving a generalized...
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