Zobrazeno 1 - 10
of 118
pro vyhledávání: '"Jean‐François Renaud"'
Autor:
Jean-François Renaud
Publikováno v:
Risks, Vol 7, Iss 3, p 73 (2019)
We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model with
Externí odkaz:
https://doaj.org/article/fc91819fac5a43cdac6850e377cde5dc
Publikováno v:
Risks, Vol 6, Iss 3, p 85 (2018)
In this short paper, we study a VaR-type risk measure introduced by Guérin and Renaud and which is based on cumulative Parisian ruin. We derive some properties of this risk measure and we compare it to the risk measures of Trufin et al. and Loisel a
Externí odkaz:
https://doaj.org/article/b133a48d70394fd1a653912d79169fd3
Publikováno v:
Scandinavian Actuarial Journal. 2019:711-728
In this paper, we unify two popular approaches for the definition of actuarial ruin with implementation delays, also known as Parisian ruin. Our new definition of ruin includes both determi...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c29f997099f916be544a8972c6be9fc
https://doi.org/10.1080/03461238.2019.1598890
https://doi.org/10.1080/03461238.2019.1598890
Publikováno v:
Insurance: Mathematics and Economics. 74:153-163
In this paper, we investigate Parisian ruin for a Levy surplus process with an adaptive premium rate, namely a refracted Levy process. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ru
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8135623d5eadc01a0348923214ef9594
https://doi.org/10.1016/j.insmatheco.2017.03.005
https://doi.org/10.1016/j.insmatheco.2017.03.005
Autor:
Jean-François Renaud, Hélène Guérin
Publikováno v:
Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2017, 73, pp.116-123. ⟨10.1016/j.insmatheco.2017.01.009⟩
Insurance: Mathematics and Economics, Elsevier, 2017, 73, pp.116-123. 〈10.1016/j.insmatheco.2017.01.009〉
Insurance: Mathematics and Economics, 2017, 73, pp.116-123. ⟨10.1016/j.insmatheco.2017.01.009⟩
Insurance: Mathematics and Economics, Elsevier, 2017, 73, pp.116-123. ⟨10.1016/j.insmatheco.2017.01.009⟩
Insurance: Mathematics and Economics, Elsevier, 2017, 73, pp.116-123. 〈10.1016/j.insmatheco.2017.01.009〉
Insurance: Mathematics and Economics, 2017, 73, pp.116-123. ⟨10.1016/j.insmatheco.2017.01.009⟩
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a finite-time horizon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27bedadb3dec2040325f2fb3fb55b7ec
https://doi.org/10.1016/j.insmatheco.2017.01.009
https://doi.org/10.1016/j.insmatheco.2017.01.009
A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance wi
Autor:
Jean-François Renaud, Irmina Czarna
Publikováno v:
Statistics & Probability Letters. 113:54-61
In this short paper, we investigate a definition of Parisian ruin introduced in Czarna (2016), namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover, we compute more general Parisian fluctuat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d9931993ea0f7e526daf8508adbb09b
https://doi.org/10.1016/j.spl.2016.02.018
https://doi.org/10.1016/j.spl.2016.02.018
Publikováno v:
Applied Mathematical Finance. 23:1-21
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::234e8e173f426e151058d5b93cfb2985
https://doi.org/10.1080/1350486x.2016.1145066
https://doi.org/10.1080/1350486x.2016.1145066
Publikováno v:
Risks
Volume 7
Issue 4
Volume 7
Issue 4
In this paper, we study a stochastic control problem faced by an insurance company allowed to pay out dividends and make capital injections. As in (Lø
kka and Zervos (2008)
Lindensjö
and Lindskog (2019)), for a Brownian motio
kka and Zervos (2008)
Lindensjö
and Lindskog (2019)), for a Brownian motio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b5be35172e110e8f3fb06c72ca00319
https://doi.org/10.3390/risks7040120
https://doi.org/10.3390/risks7040120