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267 results on '"Sciences actuarielles"'

255. Collective epidemic models

Author

Lefèvre, Claude, Picard, Philippe, Lefèvre, Claude, and Picard, Philippe

Abstract

A number of models have been proposed to describe the spread of infectious diseases of the S-I-R type. Most of them account for variable infectivity levels, and very few incorporate variable susceptibility levels. In the present work, a new epidemic model, called a collective model, is constructed that combines both variabilities in a general way. It is then established how to determine the exact distribution of the final state and the severity of the epidemic when the infection process stops., SCOPUS: ar.j, info:eu-repo/semantics/published

Published
1996

261. Pricing and hedging Asian basket spread options

Author

Alexandre Petkovic, Michèle Vanmaele, Griselda Deelstra, and Mathematics

Subjects
Non-comonotonic sum, Approximation theory, Applied Mathematics, Comonotonicity, comonotonicity theory, Moment (mathematics), Computational Mathematics, Asian basket spread option, Moment matching, Order (exchange), Currency, Sciences actuarielles, Economie, Econometrics, Asian option, Greeks, Mathematics, Valuation (finance), Shifted log-extended skew normal law
Abstract

Asian options, basket options and spread options have been extensively studied in the literature. However, few papers deal with the problem of pricing general Asian basket spread options. This paper aims to fill this gap. In order to obtain prices and Greeks in a short computation time, we develop approximation formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give explicitly the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency. © 2009 Elsevier B.V. All rights reserved., SCOPUS: ar.j, info:eu-repo/semantics/published

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267. Learning restart strategies

Author

Matteo Gagliolo and Schmidhuber, J.

Subjects
Théorie de l'information, Sciences actuarielles, Informatique mathématique, Statistique appliquée, Intelligence artificielle
Abstract

info:eu-repo/semantics/published

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