Self-similar models in risk theory
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References listed on IDEAS
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401, June.
- Krzysztof Burnecki & Makoto Maejima & Aleksander Weron, 1997. "The Lamperti transformation for self-similar processes," HSC Research Reports HSC/97/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999.
"Origins of the scaling behaviour in the dynamics of financial data,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 264(3), pages 562-569.
- Aleksander Weron & Szymon Mercik & Rafal Weron, 1998. "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports HSC/98/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
- Krzysztof Burnecki & Jan Rosinski & Aleksander Weron, 1997. "Spectral representation and structure of self-similar processes," HSC Research Reports HSC/97/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
More about this item
KeywordsSelf-similar process; Risk theory; Lamperti transformation; Insurance; Option pricing;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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