Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Christopher Van Weverberg"'
Publikováno v:
Stochastic models, 35 (1
In this article, we focus upon a family of matrix valued stochastic processes and study the problem of determining the smallest time such that their Laplace transforms become infinite. In particular, we concentrate upon the class of Wishart processes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e0cd718b0d6f5a45a60f235b80f0097
https://doi.org/10.1080/15326349.2019.1578237
https://doi.org/10.1080/15326349.2019.1578237
Publikováno v:
SSRN Electronic Journal.
In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da776be285583e48500d740952b6dfe5
https://doi.org/10.2139/ssrn.2667939
https://doi.org/10.2139/ssrn.2667939
Publikováno v:
SSRN Electronic Journal.
We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart process
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2bd0bd01a552a560f31592ed489352ef
https://doi.org/10.2139/ssrn.2542185
https://doi.org/10.2139/ssrn.2542185