arXiv subjects

Martin Le Doux Mbele Bidima

Publications and source records attributed to Martin Le Doux Mbele Bidima.

2 recordsLinked to original sources

arXiv2018

A Least Squares Estimation of a Hybrid log-Poisson Regression and its Goodness of Fit for Optimal Loss Reserves in Insurance

In this article, the parameters of a hybrid log-linear model (log-Poisson) are estimated using the fuzzy least-squares (FLS) procedures (Celmiņš, 987a,b, D'Urso and Gastaldi, 2000, DUrso and Gastaldi, 2001). A goodness of fit have been derived in order to assess and compare this new model and the classical log-Poisson regression in loss reserving framework (Mack, 1991). Both the hybrid model and its goodness of fit are performed on a loss reserving data.

stat.ME↗

arXiv2014

Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets

Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to $1$ geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory. Furthermore, we discuss asymptotic arbitrage in the expected utility sense and its relationship to the first part of the paper.

math.OC↗