Zobrazeno 1 - 10
of 207
pro vyhledávání: '"Kabanov Yuri"'
Publikováno v:
Measurement Science Review, Vol 20, Iss 4, Pp 187-195 (2020)
The generalized maximum likelihood algorithm is introduced for detecting the abrupt change in the band center of a fast-fluctuating Gaussian random process with the uniform spectral density. This algorithm has a simpler structure than the ones obtain
Externí odkaz:
https://doaj.org/article/9fdbbdbb32844866b988965f4723874f
Autor:
Antipov, Viktor, Kabanov, Yuri
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric L\'evy process. Considering the ruin probability as a of the capital reserve we obtain for it a part
Externí odkaz:
http://arxiv.org/abs/2401.04276
Autor:
Kabanov, Yuri, Kozhevnikov, Aleksei
We expose a simple solution of the consumption-investment problem pair trading. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation solvable explicitly.
Externí odkaz:
http://arxiv.org/abs/2312.06842
Autor:
Antipov, Viktor, Kabanov, Yuri
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a random vari
Externí odkaz:
http://arxiv.org/abs/2311.11023
Autor:
Kabanov, Yuri, Promyslov, Platon
This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric L\'evy process. Using the
Externí odkaz:
http://arxiv.org/abs/2301.01966
Autor:
Kabanov, Yuri, Sidorenko, Arthur
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financial regulations including those related with eventual default charges a
Externí odkaz:
http://arxiv.org/abs/2212.13188
Autor:
Antipov, Viktor1,2 (AUTHOR) vantipov@nes.ru, Kabanov, Yuri3,4 (AUTHOR) ykabanov@univ-fcomte.fr
Publikováno v:
Mathematics (2227-7390). Jun2024, Vol. 12 Issue 11, p1705. 12p.
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by a Markov p
Externí odkaz:
http://arxiv.org/abs/2110.08784
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve accord
Externí odkaz:
http://arxiv.org/abs/2012.06673