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Date: 2014
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 ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212498
Description: We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modeling environment using a backward stochastic differential equation (BSDE) approach. Filtering theory is ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1141778
Description: In this paper, a generalized GARCH-based stochastic mortality model is developed, which incorporates conditional heteroskedasticity and conditional non-normality. First, a detailed empirical analysis ... More
Reviewed: Reviewed
Date: 2013
Subject Keyword: 149900 Other Economics
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/310410
Description: In this article we discuss an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes. The model can be viewed as a "dynamic" version of a f ... More
Date: 2013
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 ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216934
Description: In this paper, we propose a novel Two-level Particle Swarm Optimization (TLPSO) to solve the credit portfolio management problem. A two-date credit portfolio management model is considered. The object ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271701
Description: We introduce a new double threshold model with regime switches. New filtering equations are derived based on a reference probability approach. We also propose a new and practically useful method for i ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212533
Description: We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213739
Description: We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general ex ... 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: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269887
Description: We study an optimal investment-reinsurance problem for an insurer who faces dynamic risk constraint in a Markovian regime-switching environment. The goal of the insurer is to maximize the expected uti ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215040
Description: This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. Thi ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213744
Description: This article discusses the pricing of derivatives in a continuous-time, hidden Markov-modulated, pure-jump asset price model. The hidden Markov chain modulating the pure-jump asset price model describ ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230866
Description: This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial mode ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213757
Description: We investigate the pricing of both European and American-style options when the price dynamics of the underlying risky assets are governed by a Markov-modulated constant elasticity of variance process ... More
Reviewed: Reviewed