Sökning: "Boualem Djehiche"

Visar resultat 6 - 10 av 14 avhandlingar innehållade orden Boualem Djehiche.

  1. 6. Option Pricing in Jump-to-Default Models

    Författare :Hannah Dyrssen; Erik Ekström; Boualem Djehiche; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Matematik;

    Sammanfattning : .... LÄS MER

  3. 7. On the Snell envelope approach to optimal switching and pricing Bermudan options

    Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. LÄS MER

  4. 8. Some aspects of optimal switching and pricing Bermudan options

    Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Luis Alvarez; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. LÄS MER

  5. 9. Stochastic modelling in disability insurance

    Författare :Björn Löfdahl; Boualem Djehiche; Mogens Steffensen; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of two papers related to the stochastic modellingof disability insurance. In the first paper, we propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. LÄS MER

  7. 10. Topics in life and disability insurance

    Författare :Björn Löfdahl Grelsson; Boualem Djehiche; Jostein Paulsen; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : This thesis consists of five papers, presented in Chapters A-E, on topics in life and disability insurance. It is naturally divided into two parts, where papers A and B discuss disability rates estimation based on historical claims data, and papers C-E discuss claims reserving, risk management and insurer solvency. LÄS MER