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Date: 2014
Subject Keyword:
010200 Applied Mathematics
| 150200 Banking, Finance and Investment
| 160300 Demography
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045653
Description:
In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and
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Authors:
Elliott, Robert J
| Siu, Tak Kuen
Date: 2014
Subject Keyword:
010200 Applied Mathematics
| 010300 Numerical and Computational Mathematics
| 010400 Statistics
| Fractional Gaussian VAR process
| Hidden Markov models
| Long memory
| Mean-variance utility
| Strategic asset allocation
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310195
Description:
Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing mo
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Date: 2014
Subject Keyword:
010200 Applied Mathematics
| 150200 Banking, Finance and Investment
| 160300 Demography
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044192
Description:
Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified.
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Authors:
Shen, Yang
| Siu, Tak Kuen
Date: 2013
Subject Keyword:
010200 Applied Mathematics
| backward control systems
| backward stochastic differential equations
| random default time
| stochastic maximum principle
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/221257
Description:
This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations
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Authors:
Ganesh, M
| Hawkins, S. C
Date: 2013
Subject Keyword:
010200 Applied Mathematics
| Generalized polynomial chaos
| Multiple scattering
| Stochastic acoustic configurations
| T-matrix
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/221271
Description:
We consider absorption and scattering of acoustic waves from uncertain configurations comprising multiple two dimensional bodies with various material properties (sound-soft, sound-hard, absorbing and
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Authors:
Ganesh, M
| Hawkins, S. C
Date: 2013
Subject Keyword:
010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/283407
Description:
We present an efficient algorithm for uncertainty quantification of scattering cross-sections of stochastic configurations comprising multiple two dimensional sound-soft particles whose locations and
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Authors:
Sofronov, Georgy
Date: 2013
Subject Keyword:
010200 Applied Mathematics
| Dynamic programming
| Multiple stopping rules
| Optimal stopping
| Selling problem
| Sequential decision analysis
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216703
Description:
We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an opti
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Date: 2013
Subject Keyword:
010100 Pure Mathematics
| 010200 Applied Mathematics
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/310547
Description:
11 page(s)
Reviewed:
Authors:
Bui, The Anh
Date: 2013
Subject Keyword:
010100 Pure Mathematics
| 010200 Applied Mathematics
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/310554
Description:
15 page(s)
Reviewed:
Date: 2013
Subject Keyword:
010200 Applied Mathematics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272859
Description:
Though providing vital means for the visualization, diagnosis, and quantification of decision-making processes for the treatment of vascular pathologies, vascular segmentation remains a process that c
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Authors:
Browning, Stiart A
| Goodwin, Ian D
Date: 2013
Subject Keyword:
040100 Atmospheric Sciences
| 010200 Applied Mathematics
| Australia
| Blocking
| Cutoff lows
| Storm tracks
| Subtropical cyclones
| Winter/cool season
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271636
Description:
Subtropical maritime low pressure systems frequently impact Australia's eastern seaboard. Closed circulation lows in the Tasman Sea region are termed East Coast Cyclones (ECC); they can evolve in a ra
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Date: 2013
Subject Keyword:
010200 Applied Mathematics
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/310167
Description:
243 page(s)
Authors:
Ranjan, Ram
Date: 2013
Subject Keyword:
050200 Environmental Science and Management
| 010200 Applied Mathematics
| 140200 Applied Economics
| Agricultural sustainability
| Climate change
| Drought resilience
| Global warming
| Groundwater
| Livelihood resilience
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/279112
Description:
Ensuring drought resilience for farmers is an important policy concern. Yet, a quantitative treatment of the concept of drought resilience has been lacking in the literature. This paper designs a math
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Authors:
Gaitsgory, V
| Tarnopolskaya, T
Date: 2013
Subject Keyword:
010200 Applied Mathematics
| Technology adoption
| technological uncertainty
| optimal timing
| Poisson technology improvement process
| threshold curve
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/312132
Description:
7 page(s)
Reviewed:
Authors:
Gaitsgory, V
| Quincampoix, M
Date: 2013
Subject Keyword:
010200 Applied Mathematics
| Deterministic control systems
| Differential inclusions
| Discounting and long run time average criteria
| Infinite time horizon
| Linear constraints representations of occupational measures sets
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/288175
Description:
We give a representation for the closed convex hull of the set of discounted occupational measures generated by control-state trajectories of a deterministic control system. We also investigate the li
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