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On perpetual American put valuation and first-passage in a regime-switching model with jumps
Jiang, Zhengjun; Pistorius, Martijn R. - In: Finance and stochastics 12 (2008) 3, pp. 331-356
Persistent link: https://www.econbiz.de/10008221085
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On an optimal consumption problem for p-integrable consumption plans
Balder, Erik J.; Pistorius, Martijn R. - In: Economic theory 17 (2001) 3, pp. 721-738
Persistent link: https://www.econbiz.de/10007175426
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Finite time ruin probabilities with one Laplace inversion
Avram, Florin; Usabel, Miguel - In: Insurance / Mathematics & economics 32 (2003) 3, pp. 371-378
Persistent link: https://www.econbiz.de/10006887754
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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-234
Persistent link: https://www.econbiz.de/10007905830
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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-235
Persistent link: https://www.econbiz.de/10008886700
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Risk comparisons of premium rules: optimality and a life insurance study
Asmussen, Søren; Møller, Jakob R. - In: Insurance / Mathematics & economics 32 (2003) 3, pp. 331-344
Persistent link: https://www.econbiz.de/10006887757
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TECHNICAL NOTES - On the Tail of the Waiting Time in a Markov-Modulated M-G-1 Queue
Asmussen, Søren; O'Cinneide, Colm - In: Operations research : the journal of the Operations … 50 (2002) 3, pp. 559-565
Persistent link: https://www.econbiz.de/10006418478
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An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model
Asmussen, Søren; Perry, David - In: Mathematics of operations research 23 (1998) 1, pp. 166-176
Persistent link: https://www.econbiz.de/10006419964
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Risk Theory in a Periodic Environment: The Cramer-Lundberg Approximation and Lundberg's Inequality
Asmussen, Søren; Rolski, Tomasz - In: Mathematics of operations research 19 (1994) 2, pp. 410-433
Persistent link: https://www.econbiz.de/10006421102
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Sensitivity Analysis of Insurance Risk Models via Simulation
Asmussen, Søren; Rubinstein, Reuven Y. - In: Management science : journal of the Institute for … 45 (1999) 8, pp. 1125-1141
Persistent link: https://www.econbiz.de/10006096566