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Effects of the age process on aggregate discounted claims

Léveillé, Ghislain; Mitric, Ilie-Radu; Côté, Victor - In: Risks : open access journal 6 (2018) 4, pp. 1-17

In this document, we examine the effects of the age process on aggregate discounted claims by studying the conditional raw and joint moments, the moment generating function and the distribution function of the increments of compound renewal sums with discounted claims, taking into account the...

Persistent link: https://www.econbiz.de/10011906226

Compound trend renewal process with discounted claims : a unified approach

Léveillé, Ghislain; Hamel, Emmanuel - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 228-246

Persistent link: https://www.econbiz.de/10012194948

Local stochastic volatility with jumps : analytical approximations

Pagliarani, Stefano; Pascucci, Andrea - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10010243616

Numerical hedging of electricity contracts using dimension reduction

Hepperger, Peter - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10009672594

A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates

Glau, Kathrin - In: Finance and stochastics 20 (2016) 4, pp. 1021-1059

Persistent link: https://www.econbiz.de/10011570348

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215

Persistent link: https://www.econbiz.de/10011815225

Dividend optimization for jump-diffusion model with solvency constraints

Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan - In: Operations research letters 48 (2020) 2, pp. 170-175

Persistent link: https://www.econbiz.de/10012254035

Algorithm for computing the queue length distribution at various time epochs in DMAP/G(1, a, b)/1/N queue with batch-size-dependent service time

Yu, Miaomiao; Alfa, Attahiru S. - In: European journal of operational research : EJOR 244 (2015) 1, pp. 227-239

Persistent link: https://www.econbiz.de/10010531947

Analysis of a finite-buffer bulk-service queue under Markovian arrival process with batch-size-dependent service

Banerjee, Anuradha; Gupta, U. C.; Chakravarthy, Srinivas R. - In: Computers & operations research : and their … 60 (2015), pp. 138-149

Persistent link: https://www.econbiz.de/10011279661

A stochastic inventory system with two modes of service and retrail of customers

Rejitha, K. R.; Jose, K. P. - In: Opsearch : journal of the Operational Research Society … 55 (2018) 1, pp. 134-149

Persistent link: https://www.econbiz.de/10011880289