1 citations · 1 across the 4 of their papers we have counts for
7 papers
On the valuation of life insurance policies for dependent coupled lives
Kira Henshaw, Cedric H. A. Koffi, Olivier Menoukeu Pamen +1
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a coupl…
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt +1
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The s…
Symmetric weighted odd-power variations of fractional Brownian motion and applications
David Nualart, Raghid Zeineddine
We prove a non-central limit theorem for the symmetric weighted odd-power variations of the fractional Brownian motion with Hurst parameter H< 1/2. As applications, we study the as…
Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time
Raghid Zeineddine
We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is…
Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
Raghid Zeineddine
Let X^{1}, X^{2} be two independent (two-sided) fractional Brownian motions having the same Hurst parameter H in (0,1), and let Y be a standard (one-sided) Brownian motion independ…
An Itô's type formula for the fractional Brownian motion in Brownian time
Ivan Nourdin, Raghid Zeineddine
Let be a (two-sided) fractional Brownian motion of Hurst parameter and let be a standard Brownian motion independent of . Fractional Brownian motion in Brow…
Fluctuations of the power variation of fractional Brownian motion in Brownian time
Raghid Zeineddine
We study the fluctuations of the power variation of fractional Brownian motion in Brownian time