Author

F. Shokrollahi

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Preprint Sep 2026

Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm

An Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model provides a reliable and computationally efficient approach for modeling financial time series exhibiting both long-memory dependence and jump behavior.

Chidiogo Joy Agboeke, Hamidreza Maleki Almani, Dario Gasbarra et al. · 0 citations

Preprint Aug 2026

Pricing Temperature-Index Insurance under Long Memory and Stochastic Time Change

This paper develops a unit-consistent actuarial framework for pricing capped cumulative temperature-index insurance under long-range dependence and stochastic variability. Daily temperature anomalies are modeled as increments of fractional Brownian motion evaluated at an operational time generated by the integral of a...

Nader Karimi, F. Shokrollahi · 1 citation

Preprint Jul 2026

Optimal Surplus Management for Insurers under Stochastic Interest Rates and Jump-Driven Liabilities

This paper investigates the optimal surplus management problem of an insurance company operating in a financial market with stochastic interest rates and jump-driven liabilities. The insurer dynamically allocates its surplus between a risky stock and a risk-free zero-coupon bond while facing insurance claims modeled by...

Nader Karimi, F. Shokrollahi, Masoumeh Shahmoradi · 1 citation