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Full-Text Articles in Business
On Central Branch/Reinsurance Risk Networks: Exact Results And Heuristics, Florin Avram, Sooie-Hoe Loke
On Central Branch/Reinsurance Risk Networks: Exact Results And Heuristics, Florin Avram, Sooie-Hoe Loke
Mathematics Faculty Scholarship
Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot expect exact answers. Occasionally, reductions to one dimension or heuristic simplifications yield explicit approximations, which may be useful for getting qualitative insights. In this paper, we study two such problems: the ruin problem for a two-dimensional CB network under a new mathematical model, and the problem of valuation of two-dimensional CB networks by optimal dividends. A common thread between …
Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum
Dynamical Volatilities For Yen-Dollar Exchange Rates, Kyungsik Kim, Seong-Min Yoon, C. Christopher Lee, Myung-Kul Yum
All Faculty Scholarship for the College of the Sciences
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponent κ = 0.96 (one minute) and 0.86 (ten minutes), and that our behavior occurs in the subdiffusive process. Our result presented will be compared with that of recent numerical calculations.