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Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/163384
Description: We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain wh ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1165092
Description: 11 page(s)
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/139844
Description: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state Markov chain. We interpret the states of the chai ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/139076
Description: Recently Markov-modulated compound Poisson models have gained its popularity in modelling insurance claims in the actuarial science literature. A Markov-modulated compound Poisson model can provide a ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/138056
Description: In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.
Reviewed: Reviewed
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