We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes’ beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and noise. It is common knowledge that the noise process is an exogenous random walk. Our model explain...

The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers [Gerber, H.U., Shiu, E.S.W., 1997. The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Math. Econ. 21, 129–137; Gerber, H.U., Shiu, E.S.W., 1998a. On the time value of ruin. N. Am. Actuar. J. 2 (1), 48–78; Gerber, H.U., Shiu, E.S.W.,...

The purpose of this letter is to introduce a modified version the Gerber statistic resulting in enhancement its function as measure statistical co-movement. modification centres around redefinition zones and thresholds, alongside use finite real-valued contributions rather than discrete binary counts assigning value individual co-movements. Arguments for former are based on alignment data serie...

The expected discounted penalty with downside jumps has been extensively studied in Gerber and Shiu(1998), Gerber and Landry(1998), Tsai and Wilmott(2002) and others. In this paper, we study the expected discounted penalty in a perturbed compound Poisson model with two sided jumps. We show that it is always twice continuously differentiable provided that the jump size distribution has a bounded...

In this paper, we consider the perturbed renewal risk process. Systems of integrodifferential equations for the Gerber-Shiu functions at ruin caused by a claim and oscillation are established, respectively. The explicit Laplase transforms of GerberShiu functions are obtained, while the closed form expressions for the Gerber-Shiu functions are derived when the claim amount distribution is from t...