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Search: subject:"change of measure"
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8
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change of measure
7
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6
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6
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6
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4
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Arık, Ayşe
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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International journal of theoretical and applied finance
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1
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1
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ECONIS (ZBW)
15
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1
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1
Ruin probability for the insurer-reinsurer model for exponential claims : a probabilistic approach
Burnecki, Krzysztof
;
Teuerle, Marek A.
;
Wilkowska, …
- In:
Risks : open access journal
9
(
2021
)
5
,
pp. 1-10
change
of
measure
technique. We illustrate the admissible range of parameters of the risk process. We also justify our result …
Persistent link: https://www.econbiz.de/10012508823
Saved in:
2
Optimal ordering quantity under stochastic time-dependent price and demand with a supply disruption : a solution based on the
change
of
measure
technique
Babai, M. Zied
;
Ivanov, Dmitry
;
Kwon, Oh Kang
- In:
Omega : the international journal of management science
116
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014228532
Saved in:
3
Ruin probabilities for risk process in a regime-switching environment
Palmowski, Zbigniew
- In:
Scandinavian actuarial journal
2022
(
2022
)
7
,
pp. 565-590
Persistent link: https://www.econbiz.de/10013370724
Saved in:
4
Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
5
Change of drift in one-dimensional diffusions
Desmettre, Sascha
;
Leobacher, Gunther
;
Rogers, Leonard C. G.
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 359-381
Persistent link: https://www.econbiz.de/10012499738
Saved in:
6
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
7
Distributional compatibility for change of measures
Shen, Jie
;
Shen, Yi
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 761-794
Persistent link: https://www.econbiz.de/10012023773
Saved in:
8
A rare-event simulation algorithm for periodic single-server queues
Ma, Ni
;
Whitt, Ward
- In:
INFORMS journal on computing : JOC
30
(
2018
)
1
,
pp. 71-89
Persistent link: https://www.econbiz.de/10011848141
Saved in:
9
Pricing pension buy-outs under stochastic interest and mortality rates
Arık, Ayşe
;
Yolcu-Okur, Yeliz
;
Şahin, Şule
;
Uğur, …
- In:
Scandinavian actuarial journal
(
2018
)
3
,
pp. 173-190
Persistent link: https://www.econbiz.de/10011881076
Saved in:
10
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
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