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~language:"eng"
~person:"Li, Shuanming"
~subject:"Finanzmathematik"
~subject:"Kapitalmarkttheorie"
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Finanzmathematik
Kapitalmarkttheorie
Mathematical finance
10
Theorie
9
Theory
9
Dividend
5
Dividende
5
Stochastic process
3
Stochastischer Prozess
3
Laplace transform
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Risiko
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Risk
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Actuarial mathematics
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Classical risk model
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Constant dividend barrier
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Expectation formation
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Finite-time expected discounted penalty function
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Laplace transforms
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Markov chain
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Non-dividend paying duration
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Probability theory
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Scale function
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Sparre Andersen risk model
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Spectrally negative Lévy process
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Li, Shuanming
Fabozzi, Frank J.
25
Velupillai, Kumaraswamy
23
Härdle, Wolfgang
18
Lopez de Prado, Marcos
17
Arrow, Kenneth Joseph
14
Ziemba, William T.
12
Stambaugh, Robert F.
11
Wilmott, Paul
10
Bennett, Jeff
9
Boivin, Jean
9
Elliott, Robert J.
9
Račev, Svetlozar T.
9
Schied, Alexander
9
Boucekkine, Raouf
8
Capiński, Marek
8
Chen, Shu-Heng
8
Cont, Rama
8
Den Haan, Wouter J.
8
Schofield, Norman
8
Sibillo, Marilena
8
Talman, Dolf
8
Young, Virginia R.
8
Chichilnisky, Graciela
7
Cvitanić, Jakša
7
Dhaene, Jan
7
Focardi, Sergio M.
7
Gandolfo, Giancarlo
7
Pástor, Ľuboš
7
Ruiz Estrada, Mario Arturo
7
Ruiz Tamarit, José Ramón
7
Webb, Anthony
7
Yang, Zaifu
7
Yor, Marc
7
Albrecher, Hansjörg
6
Baaquie, Belal E.
6
Barberis, Nicholas
6
Bayraktar, Erhan
6
Bergemann, Dirk
6
Cherubini, Umberto
6
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Insurance / Mathematics & economics
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
10
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1
The expected discounted penalty function : from infinite time to finite time
Li, Shuanming
;
Lu, Yi
;
Sendova, Kristina P.
- In:
Scandinavian actuarial journal
2019
(
2019
)
4
,
pp. 336-354
Persistent link: https://www.econbiz.de/10012194954
Saved in:
2
Finite time ruin problems for the Markov-modulated risk model
Li, Jingchao
;
Dickson, David C. M.
;
Li, Shuanming
-
2014
Persistent link: https://www.econbiz.de/10011342005
Saved in:
3
On the occupation times in a delayed Sparre Andersen risk model with exponential claims
Jin, Can
;
Li, Shuanming
;
Wu, Xueyuan
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 304-316
Persistent link: https://www.econbiz.de/10011630855
Saved in:
4
On the maximum severity of ruin in the compound poisson model with a threshold dividend strategy
Li, Shuanming
(
contributor
);
Lu, Yi
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003797827
Saved in:
5
The density of the time of ruin in the classical risk model with a constant dividend barrier
Li, Shuanming
;
Lu, Yi
- In:
Annals of actuarial science : publ. by the Institute of …
8
(
2014
)
1
,
pp. 63-78
Persistent link: https://www.econbiz.de/10010358004
Saved in:
6
On the discounted penalty function in a discrete time renewal risk model with general interclaim times
Wu, Xueyuan
(
contributor
);
Li, Shuanming
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003632982
Saved in:
7
On a discrete time risk model with delayed claims and a constant dividend barrier
Wu, Xueyuan
(
contributor
);
Li, Shuanming
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003340522
Saved in:
8
The diffusion perturbed compound Poisson risk model with a dividend barrier
Li, Shuanming
(
contributor
);
Wu, Biao
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297345
Saved in:
9
The analysis of perturbed risk processes with Markovian arrivals
Ren, Jiandong
;
Li, Shuanming
-
2009
Persistent link: https://www.econbiz.de/10003924219
Saved in:
10
The perturbed compound Poisson risk model with two-sided jumps
Zhang, Zhimin
;
Yang, Hu
;
Li, Shuanming
-
2009
Persistent link: https://www.econbiz.de/10003924232
Saved in:
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