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One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
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2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
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2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Correcting the holder-extendible European put formula
options extendible maturities holder-extendible put derivatives
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2010/10/22
Options that allow the holder to extend the maturity by paying an additional fixed amount found many applications in finance. Closed-form solution for these options first appeared in Longstaff (1990) ...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
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2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
Direct evidence for inversion formula in multifractal financial volatility measure
Direct evidence inversion formula multifractal financial volatility measure
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2010/12/13
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify th...
Bayesian Estimate on the Volatility for Black-Scholes Formula
black Scholes formula bayesian estimate
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2007/6/14
In this paper, for black Scholes formula volatility ,we use Bayesian views to discuss parameter estimate. Under the parameter no information prior distribution, we give a Bayesian estimate method for ...