Matemàtica Econòmica, Financera i Actuarial: Envíos recientes
Mostrando ítems 21-40 de 366
Coalitionally monotonic set-solutions for cooperative TU games
A static comparative study on set-solutions for cooperative TU games is carried out. The analysis focuses on studying the compatibility between two classical and reasonable properties introduced by Young (1985) in the ...
Sequential decisions in allocation problems
[eng] In the context of cooperative TU-games, and given an order of players, we consider the problem of distributing the worth of the grand coalition as a sequentia decision problem. In each step of process, upper and lower ...
Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier
In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of ...
Leveraging xAI for enhanced surrender risk management in life insurance products
Explainable Artificial Intelligence (xAI) plays a crucial role in enhancing our understanding of decision-making processes within black-box Machine Learning models. Our objective is to introduce various xAI methodologies, ...
Optimistic and pessimistic approaches for cooperative games
Cooperative game theory explores how to fairly allocate the joint value generated by a group of decision-makers, but its application is compromised by the large number of counterfactuals needed to compute the value of all ...
Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español
In this work the valuation methodology of compound option written on a downand- out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a ...
User cost of capital with delayed investment grants
The usual assumption when considering investment grants is that grant payments are automatic when investments are undertaken. However, evidence from case studies shows that there can exist some time lag until funds are ...
The set of undominated imputations and the core: an axiomatic approach
This paper provides an axiomatic framework to compare the D-core (the set of undominated imputations) and the core of a cooperative game with transferable utility. Theorem 1 states that the D-core is the only solution ...
A comment on the cost of capital for investments with non-homogeneous components
In this paper, the expression for the cost of capital is derived when net and replacement investments exhibit differences in their effective prices due to a different fiscal treatment. It is shown that, contrary to previous ...
Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market
In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully ...
Term structure of interest rates. European financial integration
In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates ...
The relationship of capitalization period length with market portfolio composition and betas
Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression ...
Discrete analysis of dividend payments in a non-life insurance portfolio
The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. ...
Modelos de tasas de interes en Chile: una revisión
Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el ...
The assignment game: core bounds for mixed-pair coalitions
In the assignment game framework, we try to identify those assignment matrices in which no entry can be increased without changing the coreof the game. These games will be called buyer¿seller exact games and satisfy the ...
Max-convex decompositions for cooperative TU games
We show that any cooperative TU game is the maximum of a finite collection of convex games. This max-convex decomposition can be refined by using convex games with non-negative dividends for all coalitions of at least two ...
A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates
Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the ...
Herramientas estadísticas para el estudio de perfiles de riesgo
En este documento se ilustra de un modo práctico, el empleo de tres instrumentos que permiten al actuario definir grupos arancelarios y estimar premios de riesgo en el proceso que tasa la clase para el seguro de no vida. ...
Non-constant discounting in finite horizon: The free terminal time case
This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming ...
On the dimension of the core of the assignment game
The set of optimal matchings in the assignment matrix allows to define a reflexive and symmetric binary relation on each side of the market, the equal-partner binary relation. The number of equivalence classes of the ...
