Essays about: "stochastic intensity model"
Found 5 essays containing the words stochastic intensity model.
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1. A temporal Hawkes process model for shooting occurrences in Sweden
University essay from Lunds universitet/Statistiska institutionenAbstract : The Hawkes process, also referred to as a self-exciting point process, is a class of point processes where the intensity is conditioned on previous events. More specifically, an event occurrence excites the process, temporarily increasing the probability of more events occurring. READ MORE
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2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE
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3. Stochastic Knock Control for Improved Efficiency
University essay from Linköpings universitet/FordonssystemAbstract : Increasing the efficiency and performance of internal combustion engines is always of interest in the automotive industry. One limiting factor to achieve this in gasoline combustion engines is the ignition timing which can not always be set where optimal ignition efficiency and performance is obtained. READ MORE
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4. Market-consistent valuation of a pension product with guarantee in line with Solvency II : An applied case study to improve knowledge about how rationality and stressed conditions with respect to market- and insurance risk will impact the balance sheet.
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Traditional pension products have today been replaced by products that are linked directly to the unit value of some kind of investment portfolio. These products contribute to more vulnerable situations for insurance companies in terms of uncertainties of future obligations. READ MORE
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5. A Risk and Capital Requirement Model for Life Insurance Portfolios
University essay from Institutionen för matematik och matematisk statistikAbstract : The capital requirements for insurance companies in the Solvency I framework are based on the premium and claim expenditure. This approach does not take the individual risk of the insurer into consideration and give policy holder little assur- ance. Therefore a framework called Solvency II is under development by EU and its members. READ MORE