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Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process

Wu, Lan; Zang, Xin; Zhao, Hongxin - In: Quantitative finance 20 (2020) 8, pp. 1285-1306

Persistent link: https://www.econbiz.de/10012262663

Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market

Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, … - In: Insurance / Mathematics & economics 87 (2019), pp. 92-100

Persistent link: https://www.econbiz.de/10012058923

Drawdown analysis for the renewal insurance risk process

Landriault, David; Li, Bin; Li, Shu - In: Scandinavian actuarial journal (2017) 3, pp. 267-285

Persistent link: https://www.econbiz.de/10011772133

Analysis of a drawdown-based regime-switching Lévy insurance model

Landriault, David; Li, Bin; Li, Shu - In: Insurance: Mathematics and Economics 60 (2015) C, pp. 98-107

-switching transitions. By some analytical arguments, we derive explicit formulas for a generalized two-sided exit problem. We specifically …

Persistent link: https://www.econbiz.de/10011190004

Analysis of a drawdown-based regime-switching Lévy insurance model

Landriault, David; Li, Bin; Li, Shu - In: Insurance / Mathematics & economics 60 (2015), pp. 98-107

Persistent link: https://www.econbiz.de/10010484823

Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code

Li, Bin; Tang, Qihe; Wang, Lihe; Zhou, Xiaowen - In: Journal of financial engineering 1 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010508024

Oscillatory Behavior of the Rate of Escape through an Unstable Limit Cycle

Maier, Robert S.; Stein, Daniel L. - Santa Fe Institute - 1996

Suppose a two-dimensional dynamical system has a stable attractor that is surrounded by an unstable limit cycle. If the system is additively perturbed by white noise, the rate of escape through the limit cycle will fall off exponentially as the noise strength. The presence of this slowly...

Persistent link: https://www.econbiz.de/10005623646