3 papers
stat.AP2022
Estimating the impact of the COVID-19 pandemic using granular mortality data
Frank van Berkum, Bertrand Melenberg, Michel Vellekoop
We present an extension of the Li and Lee model to quantify mortality in five European countries during the COVID-19 pandemic. The first two factors are used to model the pre-COVID…
stat.AP2018
Minimum reversion in multivariate time series
Torsten Kleinow, Michel Vellekoop
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to…
q-fin.PR2018
Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences
Marcellino Gaudenzi, Michel Vellekoop
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that opti…