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  • Search: subject:"computational survival probabilities"
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Subject
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Gerber-Shiu function 2 computational survival probabilities 2 constant dividend barrier 2 stochastic income 2 Dividend 1 Dividende 1 Finanzmathematik 1 Markov-modulated risk model 1 Markov-modulated risk modelling 1 Mathematical finance 1 Probability theory 1 Risiko 1 Risikomanagement 1 Risikomodell 1 Risk 1 Risk management 1 Risk model 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1 integro-differential equation 1 integro-differential equations 1 multi-threshold dividend 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Shija, G. 2 Jacob, M. J. 1 Jacob, M.J. 1
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International Journal of Computational Economics and Econometrics 1 International journal of computational economics and econometrics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Markov-modulated, multi-threshold dual risk model
Shija, G.; Jacob, M.J. - In: International Journal of Computational Economics and … 5 (2015) 2, pp. 183-198
In this paper we consider a Markov-modulated dual risk reserve process with a multi-threshold dividend strategy. We study the risk reserve process that can start at any level of the threshold. An integral equation for the conditional non-ruin probability is obtained. Further in two states, we...
Persistent link: https://www.econbiz.de/10011266469
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Cover Image
Markov-modulated, multi-threshold dual risk model
Shija, G.; Jacob, M. J. - In: International journal of computational economics and … 5 (2015) 2, pp. 183-198
Persistent link: https://www.econbiz.de/10011342896
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