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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302958
Description: We discuss a general problem of optimal strategies for insurance, consumption and investment in a changing economic environment described by a continuous-time regime switching model. We consider the s ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216934
Description: In this paper, we propose a novel Two-level Particle Swarm Optimization (TLPSO) to solve the credit portfolio management problem. A two-date credit portfolio management model is considered. The object ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269887
Description: We study an optimal investment-reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected uti ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179624
Description: This paper develops a model for measuring the risk inherent from trading a bond position under some important stochastic interest rate models. We employ the value at risk (VaR) and expected shortfall ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143460
Description: Risk management in a Virtual Enterprise (VE) is an important issue due to its agility and diversity of its members and its distributed characteristics. In this paper, we develop a risk management mode ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/125706
Description: In this article, we apply a real option approach for improving revenue management regarding fluctuating commodity prices and time-varying strike prices in the field of operational research. We also ta ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102465
Description: We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownia ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138011
Description: In this paper, we consider a risk analysis model for Virtual Enterprise (VE) by exploring the state of the art of the principal-agent theory. In particular, we deal with the problem of allocating the ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/140420
Description: In this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain mode ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138028
Description: In this paper, we first introduce the use of an interactive hidden Markov model (IHMM) for modeling and analyzing default data in a sector. Under the IHMM, transitions of the hidden risk states of the ... More
Reviewed: Reviewed
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