Risk and Decision Analysis
Latest Publications

TOTAL DOCUMENTS

147
(FIVE YEARS 1)

H-INDEX

8
(FIVE YEARS 0)

Published By Ios Press

1875-9173, 1569-7371
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process

2021 ◽  
pp. 1-9
Author(s):  
Naho Akiyama ◽  
Toshihiro Yamada
Keyword(s):  
Random Walk ◽  
Discrete Time ◽  
Malliavin Calculus ◽  
Random Walk Model ◽  
Integration By Parts ◽  
Exponential Process ◽  
Malliavin Derivative ◽  
Integration By Parts Formula ◽  
Delta Hedging ◽  
New Formula

The paper gives discrete conditional integration by parts formula using a Malliavin calculus approach in discrete-time setting. Then the discrete Bismut formula is introduced for asymmetric random walk model and asymmetric exponential process. In particular, a new formula for delta hedging process is obtained as an extension of the Malliavin derivative representation of the delta where the conditional integration by parts formula plays a role in the proof.

New risks in the new beta coefficient: Behavioral approach

2020 ◽  
pp. 1-10
Author(s):  
S.Yu. Bogatyrev
Keyword(s):  
Behavioral Approach ◽  
Beta Coefficient

Bitcoin spot and derivatives markets: Searching for completeness

2020 ◽  
pp. 1-13
Author(s):  
Helyette Geman ◽  
Henry Price
Keyword(s):  
Derivatives Markets

Ruin probability in the delayed renewal risk model perturbed by a diffusion process

2020 ◽  
pp. 1-18
Author(s):  
Franck Adékambi ◽  
Essodina Takouda
Keyword(s):  
Diffusion Process ◽  
Ruin Probability ◽  
Risk Model ◽  
Renewal Risk Model ◽  
Delayed Renewal Risk Model ◽  
Renewal Risk

Implementing enterprise risk management in road organizations: Considerations and a proposed roadmap

2020 ◽  
Vol 8 (1-2) ◽  
pp. 39-65
Author(s):  
I. Benekos ◽  
G. Yannis ◽  
S. Mavromatis
Keyword(s):  
Risk Management ◽  
Enterprise Risk Management ◽  
Enterprise Risk

The construction of a quadratic predictor of the discounted renewal claims with dependence

2020 ◽  
Vol 8 (1-2) ◽  
pp. 25-37
Author(s):  
Franck Adékambi

A Markov-modulated tree-based gradient boosting model for auto-insurance risk premium pricing

2020 ◽  
Vol 8 (1-2) ◽  
pp. 1-13
Author(s):  
Dennis Arku ◽  
Kwabena Doku-Amponsah ◽  
Nathaniel K. Howard
Keyword(s):  
Risk Premium ◽  
Gradient Boosting ◽  
Insurance Risk ◽  
Auto Insurance ◽  
Markov Modulated

LGD and RR modeling - Comparison of models

2020 ◽  
pp. 1-25
Author(s):  
Sukriye Tuysuz
Load More ...
Sign in / Sign up

Export Citation Format

Share Document