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Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/166314
Description: An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexpone ... More
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163378
Description: We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/89857
Description: A critical problem in financial and insurance risk analysis is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect diversification. How ... More
Reviewed: Reviewed
Authors: Siu, T. K | Yang, H
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138023
Description: This paper introduces nonparametric Bayesian credibility without imposing stringent parametric assumptions on claim distributions. We suppose that a claim distribution associated with an unknown risk ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/145669
Description: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Conventional methods, such as ladder or sep ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/70913
Description: We reduce a problem of pricing continuously monitored defaultable securities (barrier options, corporate debts) in a stochastic interest rate framework to calculations of boundary crossing probabiliti ... More
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136089
Description: We consider the pricing of options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump-diffusion model. We suppose that the market interest rate, the drift and the vo ... More
Reviewed: Reviewed
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