Saturday, March 21, 2015

MoneyScience News

MoneyScience News

Published / Preprint: Tornadoes and related damage costs: statistical modeling with a semi-Markov approach. (arXiv:1503.05127v1 [physics.ao-ph])

Posted: 17 Mar 2015 05:36 PM PDT

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes intensity into six states, it is possible to model the tornadoes intensity by...

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Published / Preprint: Pricing of Warrants with Stock Price Dependent Threshold Conditions. (arXiv:1503.05139v1 [q-fin.PR])

Posted: 17 Mar 2015 05:36 PM PDT

Warrants with stock price dependent threshold conditions give the right to buy specially issued stocks, if the performance of the stock price satisfies some requirements. Existence of these derivatives changes the price process of the underlying. We show that in the presence of such warrants one cannot assume that the stock market is arbitrage free and that the stock is tradeable at every time...

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Published / Preprint: Optimal risk allocation in a market with non-convex preferences. (arXiv:1503.04460v1 [q-fin.RM])

Posted: 16 Mar 2015 05:36 PM PDT

The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions for the existence of optimal and asymptotic optimal allocations. We will show that, similar to a market with convex preferences, in a non-convex framework with...

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