93 citations · 124 across the 16 of their papers we have counts for
16 papers
How the interpolation of life tables affects the decomposition of life insurance surplus
Mintodê Nicodème Atchadé, Marcus C. Christiansen, Friedrich Hubalek +1
The surplus of a life insurance policy depends on both systematic changes in mortality risk and financial changes. We propose to decompose the surplus by the axiomatically justifie…
On the supremum of a quotient of power sums
Stefan Gerhold, Friedrich Hubalek
We define a function of two real vectors by a certain homogeneous quotient involving power sums, and show that its supremum grows asymptotically linearly w.r.t. the dimension. From…
Unparalleled instances of prolifickness, random walks, and square root boundaries
Stefan Gerhold, Friedrich Hubalek
We revisit the problem of influencing the sex ratio of a population by subjecting reproduction of each family to some stopping rule. As an easy consequence of the strong law of lar…
Convergence of Optimal Expected Utility for a Sequence of Binomial Models
Friedrich Hubalek, Walter Schachermayer
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprisin…
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…
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
Stefan Gerhold, Friedrich Hubalek, Richard B. Paris
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monot…