299 research outputs found
The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model.
No full textWe provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state). Our proposed model, that generalizes several previously studied cases, may be used for example for obtaining probabilities of ruin in the presence of interest rates under the rational investement strategies proposed by Berk & Green (2004)First passage problems; Risk process; Stochastic rates of interest; Ruin with interest; Affine jump-diffusion models; Penalty/reward functions at ruin;
A Comparison of Two Methods of Analyzing a Set of Multidimensional Data
No full textTitle: A Comparison of Two Methods of Analyzing a Set of Multidimensional Data, Author: Shiu-Chin Yip, Location: ThodeIn multivariate analysis problems, one often encounters the
analysis of categorical data. Some authors prefer the analogy of such
analyses with those used for quantitative data, analysis of variance
and regression analysis. In most recent multivariate literature, most
authors agree the use of multidimensional contingency table method.
The purpose of this project is to compare the results obtained in
analyzing part of the data in a psoriasis-liver-methotrexate
interaction study using analysis of variance method and a method which is
more appropriate for categorical data.ThesisMaster of Science (MS
On the distribution of cash-flows using Esscher transforms.
No full textIn their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock price. In the present paper it is shown how upper and lower bounds in convex order can be obtained when we use these types of models to describe the financial stochasticity for a given cash-flow.Cash flow; Pricing; Processes; Models; Model;
Adverse Family Experiences Are Associated With Age of Diagnosis Among Children With Autism Spectrum Disorder
No full textAbstract
Date Presented 4/1/2017
Adverse childhood experiences (ACEs) may pose a significant barrier to timely diagnosis of autism spectrum disorder among U.S. children. By identifying ACEs early in a family’s history, occupational therapy practitioners have the opportunity to reduce family stress and support parents in meeting their children’s treatment needs.
Primary Author and Speaker: Kristin Berg
Additional Authors and Speakers: Beth Pfeiffer
Contributing Authors: Cheng-Shi Shiu, Kruti Acharya, Michael Msall, Elizabeth Pfeiffer</jats:p
Misja salezjańska Chiu Chow w Chinach
No full textThis article tells the story of Shiu Chow\u27s Salesian Mission in China (1918–1951), became Apostolic Vicariate (1920) and then diocese (1948). The Mission had lived a enormous development under the three Salesian bishops: Msgr. Versiglia (1918–1930), first Vicar Apostolic and Salesian protomartyr, Monk. Canazei (1930–1946), the Inspector in China and then Vicar Apostolic of Shiu Chow, Msgr. Arduino (1948–1951), director of the Salesian schools in Shanghai and first bishop of the diocese of Shiu Chow. Thriving mission activity and development closes the expulsion of the Salesian missionaries, the FMA nuns and Msgr. Arduino (December 2, 1951) from China from the Communists. The last part is dedicated to the Polish Salesian missionaries working in Shiu Chow Mission: coad. J. Urban, Ps. W. Spinek, sac. T. Szeliga, priest W. Wieczorek. The material for the article I found in the books of don. M. Rassiga, missionary and chronicler of Shiu Chow mission, I kindly offers to the author himself.Ten artykuł opowiada historię misji salezjańskiej Shiu Chow w Chinach (1918–1951), został wikariatem apostolskim (1920), a następnie diecezją (1948). Misja żyła a ogromny rozwój pod rządami trzech biskupów salezjańskich: ks. Versiglia (1918-1930), pierwszy wikariusz Pierwszy męczennik apostolski i salezjański, ks. Canazei (1930–1946), inspektor w Chinach, a następnie wikariusz Apostolski Shiu Chow, ks. Arduino (1948-1951), dyrektor szkół salezjańskich w Szanghaju i pierwszy biskup diecezji Shiu Chow. Prężnie rozwijająca się działalność i rozwój misji dobiegają końca wypędzenie salezjanów misjonarzy, sióstr CMW i ks. Arduino (2 grudnia 1951) od Chiny od komunistów. Ostatnia część poświęcona jest polskim misjonarzom salezjańskim pracującym w Polsce Misja Shiu Chow: dowódca. J. Urban, Ps. W. Spinek, sac. T. Szeligi, ks W. Wieczorek. The materiał do artykułu znalazłem w księgach dona. M. Rassiga, misjonarz i kronikarz Misję Shiu Chow, uprzejmie ofiarowuję samemu autorowi
Option pricing for GARCH-type models with generalized hyperbolic innovations
No full textIn this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function of the state variables, we show that the risk neutral distribution is unique and implies again a generalized hyperbolic dynamics with changed parameters. We provide an empirical test for our pricing methodology on two data sets of options respectively written on the French CAC 40 and the American SP 500. Then, using our theoretical result associated with Monte Carlo simulations, we compare this approach to natural competitors in order to test its efficiency. More generally, our empirical investigations analyze the ability of specific parametric innovations to reproduce market prices in the context of an exponential affine specification of the stochastic discount factor.Generalized hyperbolic distribution, option pricing, incomplete markets, CAC 40, SP 500, GARCH-type models.
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk-process in the presence of a penalty function
No full text09.02.15 KB. Ok to add working paper to Spiral, author hold copyrightThis paper concerns an optimal dividend distribution problem for an insurance
company which risk process evolves as a spectrally negative L\'{e}vy process
(in the absence of dividend payments). The management of the company is assumed
to control timing and size of dividend payments. The objective is to maximize
the sum of the expected cumulative discounted dividend payments received until
the moment of ruin and a penalty payment at the moment of ruin which is an
increasing function of the size of the shortfall at ruin; in addition, there
may be a fixed cost for taking out dividends. A complete solution is presented
to the corresponding stochastic control problem. It is established that the
value-function is the unique stochastic solution and the pointwise smallest
stochastic supersolution of the associated HJB equation. Furthermore, a
necessary and sufficient condition is identified for optimality of a single
dividend-band strategy, in terms of a particular Gerber-Shiu function. A number
of concrete examples are analyzed
A proposal for a study of motive processing
No full textThis was a contribution to the Cognition and Affect project that led to the Ph.D. thesis of the first author (Luc P. Beaudoin). This paper was mostly written by the first author, although it is based on and develops ideas of the second author. The nursemaid scenario was first described by the second author (Sloman, 1986). The first author was in the process of implementing the model described in the paper.Thanks to Aluizio Arujo, Peter Greenfield, Inman Harvey, Tim Read, Edmund Shing, Sharon Wood, and Shiu Yuen for reading and commenting on drafts. The first author was supported by the Commonwealth Scholarship Commission in the United Kingdom, and FCAR of Quebec
Organizing for Creativity
No full textOne main reason why Homo sapiens rule the world is because they are being more creative than other tribes. By the same token, organizations that are more creative can survive longer and better than their less creative counterparts. In this study, the author provides her insights into the meaning of creativity, the myths of creativity, and the recipe for creativity
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