Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Maren Diane Schmeck"'
Autor:
Maren Diane Schmeck, Stefan Schwerin
Publikováno v:
Risks, Vol 9, Iss 5, p 100 (2021)
In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of ele
Externí odkaz:
https://doaj.org/article/05ff203e59bf4b0b8cf7804958c32759
Publikováno v:
Risks, Vol 9, Iss 4, p 73 (2021)
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company’s surplus process is assumed to follow a Br
Externí odkaz:
https://doaj.org/article/7bf2a7baa92d43bb8861c16e8b28f447
In a discrete time framework we consider a life insurer who is able to buy a securitization product to hedge mortality. Two cohorts are considered: one underlying the securitization product and one for the portfolio of the insurer. In a general setti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c60cc34f215a1405f6f8325f32fd0656
https://pub.uni-bielefeld.de/record/2951305
https://pub.uni-bielefeld.de/record/2951305
Autor:
Stefan Schwerin, Maren Diane Schmeck
Publikováno v:
Risks, Vol 9, Iss 100, p 100 (2021)
Risks
Volume 9
Issue 5
Risks
Volume 9
Issue 5
In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of ele
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d6e06b7a4ff31391c4bcfa2d79fb0662
https://hdl.handle.net/10419/258188
https://hdl.handle.net/10419/258188
Publikováno v:
SSRN Electronic Journal.
Using powerful technique of stochastic time change, we introduce a new two-factor commodity price model, where one of the fundamental factors is the activity rate. This factor implicitly introduces stochastic volatility into the model. The model is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2531a0789fa1aacc4689d05286eb6054
https://doi.org/10.2139/ssrn.3871680
https://doi.org/10.2139/ssrn.3871680
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b2f0da1c903cfde5728d7f8b536a2d9d
https://pub.uni-bielefeld.de/record/2957012
https://pub.uni-bielefeld.de/record/2957012
In this paper we propose and solve a real options model for the optimal adoption of an electric vehicle. A policymaker promotes the abeyance of a fossil-fueled vehicles through an incentive, and the representative fossil-fueled vehicle's owner decide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8d7ce77d7ef8bd738c798b8384e813a9
https://doi.org/10.1007/s10203-021-00359-2
https://doi.org/10.1007/s10203-021-00359-2
Publikováno v:
PUB-Publications at Bielefeld University
In this paper, we provide an axiomatic approach to general premium principles giving rise to a decomposition into risk, as a generalization of the expected value, and deviation, as a generalization of the variance. We show that, for every premium pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::97a0e6eaecfec1e2394376a748ad8338
https://hdl.handle.net/10419/227834
https://hdl.handle.net/10419/227834
Publikováno v:
PUB-Publications at Bielefeld University
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-fre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a08d1fe57686f8d53e6f274176b3f18
https://pub.uni-bielefeld.de/record/2943342
https://pub.uni-bielefeld.de/record/2943342
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian Levy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier transform m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eee70dba2dc3c1bc7868b0483205ed09