Search Results - subject:"Jump diffusion process"

On the time and aggregate claim amount until the surplus dropsbelow zero or reaches a safety level in a jump diffusion risk model

Boutsikasa, M. V.; Economidesa, D.-J.; Vaggelatou, E. - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 64-88

Persistent link: https://www.econbiz.de/10014519936

Valuing equity-linked annuities under high-water mark fee structure

Yan, Kaixin; Li, Shuanming; Zhang, Aili - In: Scandinavian actuarial journal 2024 (2024) 5, pp. 506-531

Persistent link: https://www.econbiz.de/10014520719

Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model

Liu, Yanyun; Sun, Baiqing - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 377-410

Persistent link: https://www.econbiz.de/10014514935

Smooth ambiguity preferences and asset prices with a jump-diffusion process

Suzuki, Masataka - In: Quantitative finance 22 (2022) 5, pp. 871-887

Persistent link: https://www.econbiz.de/10013367866

Dynamic optimal hedge ratio design when price and production are stochastic with jump

Clément, Nyassoke Titi Gaston; Jules, Sadefo Kamdem; … - In: Annals of finance 18 (2022) 3, pp. 419-428

Persistent link: https://www.econbiz.de/10013440645

Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash

Zhang, Caibin; Liang, Zhibin - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413423

Investment timing and capacity choice in duopolistic competition under a jump-diffusion model

Wu, Xiaoqin; Hu, Zhijun - In: Mathematics and financial economics 16 (2022) 1, pp. 125-152

Persistent link: https://www.econbiz.de/10013167720

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks 6 (2018) 3, pp. 1-17

We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance …. Assuming independent state-wise intensities taking the form of a jump-diffusion process and deterministic interest rates, we …

Persistent link: https://www.econbiz.de/10011996625

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks : open access journal 6 (2018) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011867488

Pricing Asian options with correlators

Lavagnini, Silvia - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-44

Persistent link: https://www.econbiz.de/10012887425

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