The recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since...

In this paper, we consider the classical surplus process with interest and a constant dividend barrier. Under constant interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an idea of Lin, Willmot and Drekic [Lin, X.S., Willmot,...

Risk management in a Virtual Enterprise (VE) is an important issue due to its agility and diversity of its members and its distributed characteristics. In this paper, we develop a risk management model for the VE. More specifically, we introduce a Distributed Decision Making (DDM) model for risk...

Risk management in a Virtual Enterprise (VE) is an important issue due to its agility and diversity of its members and its distributed characteristics. In this paper, we develop a risk management model for the VE. More specifically, we introduce a Distributed Decision Making (DDM) model for risk...

Modelling dependent defaults has long been a central issue for credit risk measurement and management. To address this important issue, we introduce a Markovian infectious model to describe the dependent relationship of default processes of credit securities. The central tenant of the proposed...

In this article, we consider a model of multiple make-to-order suppliers, which compete based on their promised sojourn times. A fixed penalty is imposed on the suppliers for failing the promised delivery time requirement at an agreed service level. The demand is allocated to the suppliers...