4 papers
A dynamic optimal reinsurance strategy with capital injections in the Cramer-Lundberg model
Zakaria Aljaberi, Asma Khedher, Mohamed Mnif
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of…
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
Universal approximation by signatures for infinite-dimensional rough paths
Sonja Cox, Asma Khedher, Thijs Maessen
We establish universal approximation theorems for infinite-dimensional geometric rough paths, i.e., we show that continuous functions on the space of infinite-dimensional weakly ge…
Calibration of the rating transition model for high and low default portfolios
Jian He, Asma Khedher, Peter Spreij
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models ar…