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华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model
华中科技大学 投资学 课件 Chapter8 The Capital Asset Pricing Model
2015/5/19
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model。
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Piecewise-deterministic compound Poisson model optimal stochastic control HJB equation quasi-variational inequality threshold strategy barrier strategy
2011/7/5
This paper deals with optimal dividend payment problem in the general setup of a
piecewise-deterministic compound Poisson risk model. The objective of an insurance
business under consideration is to...
Applying hedging strategies to estimate model risk and provision calculation
model risk uncertainty of volatility risk measure
2011/3/23
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different pro...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
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...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
Pricing in an equilibrium based model for a large investor
large investor liquidity utility optimization equilibrium
2010/10/21
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting pric...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity filtering
2010/10/19
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity model...
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.
A proof of a conjecture in the Cramér-Lundberg model with investments
conjecture Cramér-Lundberg model investments
2010/10/19
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By as...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
A Security Price Volatile Trading Conditioning Model
Security Price Trading Conditioning Model
2010/10/18
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probabili...
A policyholder's utility indifference valuation model for the guaranteed annuity option
Indi erence Valuation Guaranteed Annuity Option g.a.o Incom-plete Markets Insurance Life Annuity Annuitization Optimal Asset Allocation
2010/11/2
Insurance companies often include very long-term guarantees in par-ticipating life insurance products, which can turn out to be very valuable.Under a guaranteed annuity options (g.a.o.), the insurer g...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...