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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272702
Description: We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an op ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/223561
Description: The optimal dividend problem is a classic problem in corporate finance though an early contribution to this problem can be traced back to the seminal work of an actuary, Bruno De Finetti, in the late ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/215368
Description: We develop a new approach to ruin theory for a multi-line insurance business when the risk processes for correlated insurance policies are described by a multivariate diffusion process. A relation bet ... More
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172305
Description: We discuss the asset allocation problem in the important class of parametric non-linear time series models called the threshold autoregressive model in (J. Roy. Statist. Soc. Ser. A 1977; 140:34-35; P ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212848
Description: In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times o ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/283158
Description: In this paper, we consider the optimal dividend strategy for an insurer whose surplus process is modeled by the classical compound Poisson risk model modulated by an observable continuous-time Markov ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272701
Description: We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utilit ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272720
Description: In this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an obse ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136064
Description: This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the f ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137376
Description: We investigate the ruin probability when the surplus process is governed by a generalized perturbed risk model with a Markov-switching compensator. We suppose that the jump component of the perturbed ... More
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
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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
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138721
Description: We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture mod ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138730
Description: This paper proposes the use of Bayesian approach to implement Value at Risk (VaR) model for both linear and non-linear portfolios. The Bayesian approach provides risk traders with the flexibility of a ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138745
Description: This paper defines risk measure in a measure-theoretic framework and shows how some common risk measures can be interpreted using that definition.
Reviewed: Reviewed
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