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Authors: Magee, Shane
Date: 2013
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/269679
Description: 24 page(s)
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: 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: 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: book chapter
Identifier: http://hdl.handle.net/1959.14/288037
Description: 9 page(s)
Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/119064
Description: 6 page(s)
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/76211
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/222291
Description: This chapter examines the price impact of large trades in futures markets across 14 stock index futures contracts in 11 different international markets. On the balance, we find that part of the initia ... More
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: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/180624
Description: 20 page(s)
Date: 2007
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/22138
Description: 15 page(s)
Authors: Ferris, Shauna
Date: 2007
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/20746
Description: 26 page(s)
Date: 2007
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/76466
Authors: Siu, Tak Kuen
Date: 2007
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/48188
Description: We consider the valuation of participating life insurance policies using a regime-switching Esscher transform developed in Elliott, Chan and Siu (2005) when the market values of the reference asset ar ... More
Date: 2006
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/85154
Description: This chapter is concerned with distortion premium principles and some related topics. Apart from the characterization of a distortion premium principle, this chapter also examines the additivities inv ... More