Contagion modeling between the financial and insurance markets with time changed processes
Year of publication: |
May 2017
|
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Authors: | Hainaut, Donatien |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 63-77
|
Subject: | Self-exciting process | Cramer-Lundberg risk model | Stochastic optimal control | Time-changed Lévy process | Asset-liability management | Finanzdienstleistung | Financial services | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Kontrolltheorie | Control theory | Versicherungsmarkt | Insurance market |
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