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- W160625501 abstract "This Ph.D. thesis is concerned with self-similar processes. In Chapter 2 we describe the classes of transformations leading from self-similar to stationary processes, and conversely. The relationship is used in Chapter 3 to characterize stable symmetric self-similar processes via their minimal integral representation. This leads to a unique decomposition of a symmetric stable self-similar process into three independent parts. The class of such processes appears to be quite broad and can stand as a basis of different risk models. In Chapter 4 we give examples of applications of self-similar processes in insurance risk modelling. In Chapter 5 we illustrate a test of self-similarity (namely variance-time plots) on DJIA index data in order to justify the use of self-similar processes in financial modelling. Last but not least we propose an alternative model for stock price movements incorporating a martingale which generates the same filtration as fractional Brownian motion." @default.
- W160625501 created "2016-06-24" @default.
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- W160625501 date "1998-01-01" @default.
- W160625501 modified "2023-09-26" @default.
- W160625501 title "Self-similar models in risk theory" @default.
- W160625501 hasPublicationYear "1998" @default.
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