Zobrazeno 1 - 10
of 195
pro vyhledávání: '"Pflug, Georg Ch"'
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the goal is alway
Externí odkaz:
http://arxiv.org/abs/2012.01185
Publikováno v:
In European Journal of Operational Research 16 May 2022 299(1):21-34
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However, the model
Externí odkaz:
http://arxiv.org/abs/1703.05709
Autor:
Guzmics Sándor, Pflug Georg Ch.
Publikováno v:
Dependence Modeling, Vol 8, Iss 1, Pp 330-360 (2020)
The use of the exponential distribution and its multivariate generalizations is extremely popular in lifetime modeling. Freund’s bivariate exponential model (1961) is based on the idea that the remaining lifetime of any entity in a bivariate system
Externí odkaz:
https://doaj.org/article/10a4c144e5c24d82969bab73a02e0980
Autor:
Birghila, Corina, Pflug, Georg Ch.
Publikováno v:
In Insurance Mathematics and Economics September 2019 88:30-43
Autor:
Guzmics Sándor, Pflug Georg Ch.
Publikováno v:
Dependence Modeling, Vol 7, Iss 1, Pp 24-44 (2019)
We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents. We study in particular the pertainin
Externí odkaz:
https://doaj.org/article/3a81306873a94fe088e8401580117e59
Autor:
Birghila, Corina1 (AUTHOR) corina.birghila@uwaterloo.ca, Pflug, Georg Ch.2 (AUTHOR), Hochrainer‐Stigler, Stefan3 (AUTHOR)
Publikováno v:
Risk Analysis: An International Journal. Dec2022, Vol. 42 Issue 12, p2639-2655. 17p. 3 Diagrams, 2 Charts, 1 Graph.