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Distorted mix method for constructing copulas with tail dependence

Li, Lujun; Yuen, K. C.; Yang, Jingping - In: Insurance / Mathematics & economics 57 (2014), pp. 77-89

Persistent link: https://www.econbiz.de/10010402723

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-237

Persistent link: https://www.econbiz.de/10002858605

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Computational Statistics 61 (2005) 2, pp. 219-237

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...

Persistent link: https://www.econbiz.de/10010759147

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 219-237

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a <Emphasis Type="Bold">GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...</emphasis>

Persistent link: https://www.econbiz.de/10010999549

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K.C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-238

Persistent link: https://www.econbiz.de/10006607247

Likelihood approach - Profile empirical likelihood for parametric and semiparametric models

Lin, Lu; Zhu, Lixing; Yuen, K.C. - In: Annals of the Institute of Statistical Mathematics : AISM 57 (2005) 3, pp. 485-506

Persistent link: https://www.econbiz.de/10006544352

Ruin probabilities for time-correlated claims in the compound binomial model

Yuen, K. C.; Guo, J. Y. - In: Insurance: Mathematics and Economics 29 (2001) 1, pp. 47-57

Persistent link: https://www.econbiz.de/10005375204

Ruin probabilities for time-correlated claims in the compound binomial model

Yuen, K.C.; Guo, J.Y. - In: Insurance / Mathematics & economics 29 (2001) 1, pp. 47-58

Persistent link: https://www.econbiz.de/10006900663