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math.PR2022
Parametric divisibility of stochastic losses
Oskar Laverny, Alessandro Ferriero, Ecaterina Nisipasu
A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several (re)insurance losses by an additive risk facto…
math.PR2019
Optimal stopping times for a class of Ito diffusion bridges
Bernardo D'Auria, Alessandro Ferriero
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the fi…