A stochastic recurrence equations approach for score driven correlation models

a new approach to credibility premium for zero-inflated poisson models for panel data

هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...

Sample ACF of Multivariate Stochastic Recurrence Equations

We study the weak limit behaviour of the sample autocorrelation function (ACF) of non-linear stationary sequences with regularly varying nite-dimensional distributions. In particular, we consider the sample ACF of solutions to multivariate stochastic recurrence equations (SRE's). The latter includes the important class of the squares of GARCH processes. Point process convergence is exploited to...

Random Recurrence Equations and Ruin in a Markov-dependent Stochastic

We develop sharp large deviation asymptotics for the probability of ruin in a Markov-dependent stochastic economic environment and study the extremes for some related Markovian processes which arise in financial and insurance mathematics, related to perpetuities and the ARCH(1) and GARCH(1,1) time series models. Our results build upon work of Goldie [Ann. Appl. Probab. 1 (1991) 126–166], who ha...

Valuation Equations for Stochastic Volatility Models

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility process in our model can potentially reach zero and either stay there or instan...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion