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Year of publication
Subject
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Reflected process 3 Stochastic process 3 Stochastischer Prozess 3 60J35 1 Doubly reflected process 1 Drawdown 1 Eigenvalues 1 Excursion theory 1 Finite buffer queue 1 Fluctuation theory 1 Fluid model 1 Game theory 1 Integrated density of states 1 Kato class 1 Markov chain 1 Markov-Kette 1 Nash equilibrium 1 Nash-Gleichgewicht 1 Occupation time 1 Option pricing theory 1 Optionspreistheorie 1 Parisian ruin 1 Phase-type distribution 1 Portfolio selection 1 Portfolio-Management 1 Primary: 60G51 1 Quasi-variational inequality 1 Queueing theory 1 Random Feynman–Kac semigroup 1 Random potential 1 Reinsurance 1 Risiko 1 Risikomodell 1 Risk 1 Risk model 1 Rückversicherung 1 Scheduling problem 1 Scheduling-Verfahren 1 Schrödinger operator 1 Secondary: 60E10 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 5
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 2
Author
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Bekker, Renée M. 1 Budhi Arta Surya 1 Fan, Kun 1 Jin, Zhuo 1 Kaleta, Kamil 1 Mandjes, Michel 1 Mijatović, Aleksandar 1 Pietruska-Pałuba, Katarzyna 1 Pistorius, Martijn R. 1 Qian, Linyi 1 Starreveld, N. J. 1 Wang, Wenyuan 1 Zhang, Nan 1 Zhao, Xianghua 1 Zhou, Xiaowen 1
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Published in...
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Stochastic Processes and their Applications 2 Insurance / Mathematics & economics 1 Operations research letters 1 Scandinavian actuarial journal 1
Source
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ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Arta Surya; Wang, Wenyuan; Zhao, Xianghua; Zhou, … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 97-122
Persistent link: https://www.econbiz.de/10014325014
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Stochastic differential reinsurance games with capital injections
Zhang, Nan; Jin, Zhuo; Qian, Linyi; Fan, Kun - In: Insurance / Mathematics & economics 88 (2019), pp. 7-18
Persistent link: https://www.econbiz.de/10012105353
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Occupation times for the finite buffer fluid queue with phase-type ON-times
Starreveld, N. J.; Bekker, Renée M.; Mandjes, Michel - In: Operations research letters 46 (2018) 1, pp. 27-32
Persistent link: https://www.econbiz.de/10011807854
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Integrated density of states for Poisson–Schrödinger perturbations of subordinate Brownian motions on the Sierpiński gasket
Kaleta, Kamil; Pietruska-Pałuba, Katarzyna - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1244-1281
We prove the existence of the integrated density of states for subordinate Brownian motions in the presence of the Poissonian random potentials on the Sierpiński gasket.
Persistent link: https://www.econbiz.de/10011194125
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On the drawdown of completely asymmetric Lévy processes
Mijatović, Aleksandar; Pistorius, Martijn R. - In: Stochastic Processes and their Applications 122 (2012) 11, pp. 3812-3836
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level...
Persistent link: https://www.econbiz.de/10011065025
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