0
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0answers
29 views

Stop-Loss reinsurance, Determine the premium?

I have a question regarding the stop-loss reinsurance and the detail of this question is given as follow,
1
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1answer
35 views

What is the minimum Premium to be asked for a risk X?

Suppose that an insurer has an exponential utility function $u(x) =-2e^{-2x}.$ What is the minimum premium $P^{-}$ to be asked for a risk X? I got some hint for this, but I could not understand ...
0
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1answer
27 views

How to calculate two asset portfolio (problem finding the Population correlation coefficient)

I have two assets: A has an expected value of $12$ % and a standard deviation of $8$%. B has an expected value of $15$ % and a standard deviation of $12$ %. Suppose that we invest $75$ % in A and ...
1
vote
1answer
24 views

finding the optimal decision value for two dependent random events.

I have been struggling with this problem regarding options (bermuda) for some time now. You can exercise this option on two seperate occasions namely at $T_1$ or $T_2$ with a strike price $E$. The ...
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0answers
24 views

How to sum correlation, or, calculate correlation of disjointed variables

I'm trying to calculate the correlation of 2 array of variables, but the array is disjointed in the middle - but I'm trying to obtain one correlation coefficient See the excel file I uploaded: ...
0
votes
1answer
67 views

financial maths - payoff options

Consider the payoff of a call option $C=\max\{0,S(1)-K\}$, where $S(1)=S(0)(1+\mu+\sigma_X)$, X has standard normal distribution. Take $S(0)=80$, $\mu=0.3$, $\sigma=0.4$, $K=100$ (strike price). ...
0
votes
1answer
25 views

statistics and financial ratios

Currently i am trying to derive the volatility of a financial ratio. I have calculated the volatility (standard deviation) of both the denominator and numerator however I am running into trouble ...
0
votes
1answer
126 views

Comparing annualised volatility from monthly and annual data

I fear there is a very simple answer to this question and its killing me that I can't see it. I am interested in calculating historical volatility: I have monthly index values starting in Jan 2005 ...
0
votes
0answers
56 views

Financial mathematic with Feynman-Kac

I have a really big task in financial mathematics and a small part of it (to set up the problem), I need to write a PIDE (the Feynman-kac) where we estimate options with jumps. It is derived from the ...
0
votes
1answer
86 views

When does variance fail to meet its purpose in mathematical statistics? [closed]

It have shown in a lot of both math and statistics book, however, When the books define the variance, it doesn't give much attention to math based theoretical background, i wonder if some formula that ...
1
vote
1answer
202 views

Normal Distribution Quantiles and Value at Risk

I'm preparing an exam, Quantitative Methods for Financial Markets. My book is not really clear for what concerns the calculation of normal distribution quantiles that have to be used in VaR's formula. ...
1
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0answers
40 views

Programming in R: How do I switch the X and Y axes?

I have a distribution plot of the daily drawdowns of the Dow Jones Industrial Average index; however, it has the drawdowns on the y-axis and the frequency on the x-axis... I'd like to switch that so ...
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0answers
81 views

Good reference on sample autocorrelation?

I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
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0answers
27 views

Standard practice for identifying outlying spend amounts

Hope this is mathematical enough to qualify as a question - I'm no mathematician! I have a set of individuals travel & entertainment credit card spend, and I'd like to highlight any outliers that ...
6
votes
1answer
5k views

Average percent increase not equal to total percent increase?

I tried searching around for this but it was difficult to boil down the search terms. Plus nothing seemed to be showing up anyway. What's an easy way to show that the average percentage increase of n ...
2
votes
1answer
462 views

Statistics with overlapping periods

I've been having a lot of discussions about finance recently in which people will point to some results using overlapping time periods and claim a high degree of statistical significance. For ...
3
votes
1answer
579 views

What is the definition of a “predictable process”?

I am reading a book on financial mathematics, and frequently encounter the phrase "predictable process", which I haven't seen definition of, and cannot find the definition online. At first I thought ...