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Given the increasing competition in the software industry and the critical consequences of software errors, it has become important for companies to achieve high levels of software quality. Generating early forecasts of potential quality problems can have significant benefits to quality improvement. In our research, we utilized a novel approach, called prediction markets, for generating early forecasts...
Friedman considered that financial market should eliminate the irrational traders. For the sake of analyzing such a point, established a model adopt by the birth-death process to research the stock market which has rational traders and irrational traders. We studied the velocity of rational traders and irrational traders entering and quitting the stock market. Based on this we can analysis the dynamic...
Taking the Knightian uncertainty of financial market into consideration, the randomness and fuzziness of stock price should been evaluated by both probabilistic expectation and fuzzy expectation. We make use of parabolic type fuzzy numbers to discuss the fuzzy binomial option pricing model with uncertainty of both randomness and fuzziness, and derive expression for the fuzzy risk neutral probabilities,...
This paper is concerned with studying the potential application of the Kelly criterion to the engineering economics world. It is about calculating how much to bet or invest for maximizing the long-term growth rate of the repeated plays of a given game. This criterion has been extensively tested and exploited in the gambling world and used to allocate an optimal amount of the total investment fund...
Insurance pricing is usually based on classical risk theory which has some uncertain factors because of the disunity to risk pricing and arbitrage-free pricing approach is used widely in financial market. This paper attempts to solve the insurance pricing problem through the financial arbitrage-free pricing method due to the increasing interconnection between insurance and financial market. The risk-neutral...
According to the properties of general probability space, we propose the conception of acceptance set and capital requirement in the discrete-time risk measures framework. Related propositions are put forward and proved in the second part. Then we mainly focus on the time consistency properties shown during the course of discrete-time risk measures. Time consistency has been certified as one of the...
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