Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Yuri Kabanov"'
Autor:
Viktor Antipov, Yuri Kabanov
Publikováno v:
Mathematics, Vol 12, Iss 11, p 1705 (2024)
This 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 random varia
Externí odkaz:
https://doaj.org/article/7a196ab59d1e4311b7d6bb7c7768288b
Autor:
Yuri Kabanov, Nikita Pukhlyakov
Publikováno v:
Journal of Applied Probability. 59:556-570
This study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserves in a risky asset with the price dynamics given by a geometric Brownian motion. We prove a resul
Autor:
Anastasiya Ellanskaya, Yuri Kabanov
Publikováno v:
Extremes. 24:687-697
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process. Using the
Publikováno v:
Magnetism; Volume 2; Issue 2; Pages: 186-194
We studied the in-field evolution of the domain structure in ultrathin Co(0.6 nm)/Pt(t)/Co(0.6) nm trilayers with perpendicular magnetic anisotropy for 5 nm < t < 6 nm using polar Kerr microscopy. The critical interlayer thickness tcr = 5.3 nm was fo
Autor:
Julien Grépat, Yuri Kabanov
Publikováno v:
Finance and Stochastics. 25:167-187
We consider, using the geometric description, a sequence of models of multi-asset financial markets with proportional transaction costs vanishing in the limit. We assume that the price processes are He-type multinomial approximations of a process who
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
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97f6c74d6aaca8599184cea9c8844385
Autor:
Serguei Pergamenshchikov, Yuri Kabanov
Publikováno v:
Finance and stochastics. 2020. Vol. 24, № 1. P. 39-69
We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Levy processes. Our main interest is a model describing the evolution of the capital reserve of an insurance company
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14a685a754bbf1bbe54a1cc9193da0bf
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247
Publikováno v:
Finance and Stochastics. 20:1097-1108
A supermartingale deflator (resp. local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp. local martingales). A supermartingale numeraire (resp. local martingale numeraire) is a wealth process
Publikováno v:
Finance and Stochastics. 20:705-740
We consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models