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Nov 30, 2018Open AccessArticle
The main objective of the study is to investigate the long run performance of the All Share Price Index (ASPI) of the Colombo Stock Exchange, based on the economic activities of Sri Lanka using cointegration and auto regressive time series. The cointegration test illustrates that share price index is cointegrated with a specific set of macroeconomic variables, i.e. exchange rate (USD/LKR), money supply, wage rates, wet foreign ass ...
Oct 30, 2018Open AccessArticle
This work investigated a reinsurer’s optimal investment strategy and the proportion he accepted for reinsurance under proportional reinsurance and exponential utility preference in the cases where the Brownian motions were correlated and where they did not correlate. The reinsurer invested in a market in which the price process of the risky asset is governed by constant elasticity of variance (CEV) model. The required Hamilton ...
Aug 19, 2016Open AccessArticle
This paper presents an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model that obeys fractional OrnsteinUhlenbeck process. The method of estimation for all parameters (α, β, m, μ, H1, and H2) in this model is derived. We calculated the value of European call option using the estimates based on the methods of ...
May 24, 2016Open AccessArticle
In this paper, we consider a discrete time insurance risk model, in which
insurance and financial risks jointly follow a bivariate generalized FGM
distribution. Assuming that every convex combination of the marginal distributions
of insurance and financial risks belongs to strongly
regular variation class, we derive some asymptotic equivalence formulas for
these probabilities with both finite and infinite time horizons, all in the ...
Dec 29, 2015Open AccessArticle
This study tackled portfolio selection problem for an insurer as well as a
reinsurer aiming at maximizing the probability of survival of the Insurer and
the Reinsurer, to assess the impact of proportional reinsurance on the survival
of insurance companies as well as to determine the condition that would warrant
reinsurance according to the optimal reinsurance proportion chosen by the
insurer. It was assumed the insurer’s and the reinsurer’s surplus processes
were approximated by Brownian motion ...
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