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Showing 2020 · math.PRShow all
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math.PR2020
A note on large deviations in life insurance
Stefan Gerhold
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that…
math.PR2020
On binomial order avalanches
Friedrich Hubalek, Dragana Radojicic
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-p…