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Fourier inversion formulas in option pricing and insurance
and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss ... them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions ...- Authors: Daniel Dufresne, José Garrido, MANUEL MORALES
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Distributions of Discounted Values
(t- 1, t), with corresponding discount factor V s = 1/( I+R t) , t = 1 ,2 ..... The discounted values ... value, at time t , of C O . . . . . Cr. 1 , then S t=(1 +Rr)(St . I+Ct. I ) , S0=0. This shows that ...- Authors: Daniel Dufresne
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Discounted Claims In A Renewal Risk Model
density of U = XY is hU (u) = hX % hY (u) = ∫ ∞ 0 dx x hX(x)hY (u x ) . The function fa,b(u) = 1 B(a ... B(a, b) ua−1(1− u)b−11{0<u<1} is a probability density function if a, b > 0, but it is not a probability ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Sums of Lognormals
Sums of Lognormals The problem of finding the distribution of sums of lognormally ... variables is discussed. References going back to the 1930’s are given, as well as some possible solutions. A formula ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods