Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Insurer's solvency, portfolio immunization and incomplete markets

2014/13/B/HS4/03222

Keywords:

portfolio immunization term structure of interest rates Vasicek's model Merton's model monotonic integral operator generated by a risk-switching process long-term measures of insolvency risk ruin probability expected deficit at ruin expected harm of the deficit at ruin Markov chains fixed point theory

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_12: Living conditions and standards, income distribution, poverty
  • HS4_8: Behavioral economics, consumption and consumer behavior, marketing

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Politechnika Łódzka, Wydział Fizyki Technicznej, Informatyki i Matematyki Stosowanej

woj. łódzkie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Lesław Gajek 

Number of co-investigators in the project: 3

Call: OPUS 7 - announced on 2014-03-17

Amount awarded: 229 700 PLN

Project start date (Y-m-d): 2015-02-11

Project end date (Y-m-d): 2017-02-10

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Komputer typu laptop (2 szt.) (8 000 PLN)
  2. Urządzenie drukująco-skanujące (2 000 PLN)

Information in the final report

  • Publication in academic press/journals (7)
  1. Banach Contraction Principle and ruin probabilities in regime-switching models
    Authors:
    Lesław Gajek, Marcin Rudź
    Academic press:
    Insurance: Mathematics & Economics (rok: 2018, tom: 80, strony: 45–53), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2018.02.005 - link to the publication
  2. Balance-sheet interest rate risk: a weighted L^p approach
    Authors:
    Lesław Gajek, Elżbieta Krajewska
    Academic press:
    Journal of Risk (rok: 2018, tom: 21(1), strony: 91-104), Wydawca: INCISIVE MEDIA
    Status:
    Published
    DOI:
    10.21314/JOR.2018.395 - link to the publication
  3. General Insolvency Risk Measures in a Sparre Andersen Model with a Switch
    Authors:
    Lesław Gajek, Marcin Rudź
    Academic press:
    Journal of Risk and Insurance , Wydawca: Wiley
    Status:
    Submitted
    DOI:
    brak - link to the publication
  4. Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model
    Authors:
    Lesław Gajek, Marcin Rudź
    Academic press:
    Methodology and Computing in Applied Probability , Wydawca: Springer
    Status:
    Accepted for publication
    DOI:
    10.1007/s11009-018-9627-2 - link to the publication
  5. A generalization of Gerber's inequality for ruin probabilities in risk-switching models
    Authors:
    Lesław Gajek, Marcin Rudź
    Academic press:
    Statistics and Probability Letters (rok: 2017, tom: 129, strony: 236–240), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2017.06.001 - link to the publication
  6. Deficit distributions at ruin in a regime-switching Sparre Andersen model
    Authors:
    Lesław Gajek, Marcin Rudź
    Academic press:
    Journal of Applied Analysis (rok: 2018, tom: 24(1), strony: 99-107), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/jaa-2018-0010 - link to the publication
  7. Portfolio immunization under cone restrictions
    Authors:
    Lesław Gajek, Elżbieta Krajewska
    Academic press:
    Journal of Applied Analysis (rok: 2017, tom: 23(2), strony: 127–135), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/jaa-2017-0016 - link to the publication

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