1 citations · 1 across the 2 of their papers we have counts for
7 papers
Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
Jonathan Klinge, Maren Diane Schmeck
We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce c…
The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging
Annika Kemper, Maren Diane Schmeck
In this paper, we extend the market price of risk for delivery periods (MPDP) of electricity swap contracts by introducing a dimension for jump risk. As introduced by Kemper et al.…
Optimal switch from a fossil-fueled to an electric vehicle
Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini +1
In this paper we propose and solve a real options model for the optimal adoption of an electric vehicle. A policymaker promotes the abeyance of fossil-fueled vehicles through an in…
A decomposition of general premium principles into risk and deviation
Max Nendel, Frank Riedel, Maren Diane Schmeck
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk mea…
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Annika Kemper, Maren D. Schmeck, Anna Kh. Balci
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the d…
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Marco Piccirilli, Maren Diane Schmeck, Tiziano Vargiolu
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian Lévy processes, that fulfills a no-overlapping-arbitrage (NO…