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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272496
Description: A continuous-time Markov chain which is partially observed in Poisson noise is considered, where a structural change in the dynamics of the hidden process occurs at a random change point. Filtering an ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/191274
Description: A Bayesian adaptive control approach to the combined optimal investment/reinsurance problem of an insurance company is studied. The insurance company invests in a money market and a capital market ind ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/140455
Description: We develop a continuous-time asset allocation model which incorporates both model uncertainty and structural changes in economic conditions. A "dynamic" M-ary detection framework for a continuous-time ... More
Reviewed: Reviewed
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
Authors: Siu, Tak Kuen
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143425
Description: Long-term strategic asset allocation is an important problem in both finance and actuarial science. There are two key issues in long-term strategic asset allocation, namely, the presence of inflation ... More
Reviewed: Reviewed
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