3 papers
q-fin.RM2026
Modeling dependence in sparse time series of Insurance Claims
Roberto Baviera, Pietro Manzoni, Michele Domenico Massaria
Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, Lévy copulas and zero-mixed models,…
q-fin.MF2026
The additive Bachelier model with an application to the oil option market in the Covid period
Roberto Baviera, Michele Domenico Massaria
In April 2020, the Chicago Mercantile Exchange temporarily switched the pricing formula for West Texas Intermediate oil market options from the Black model to the Bachelier model.…
q-fin.PR2026
Smile asymptotics for Bachelier implied volatility
Roberto Baviera, Michele Domenico Massaria
We investigate the asymptotic behaviour of the implied volatility in the Bachelier setting, extending the large-strike results established for the Black-Scholes framework. Exploiti…