Narrow search
Showing 1 - 10 of 79
Cover Image
A risk model with renewal shot-noise Cox process
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Insurance / Mathematics & economics 65 (2015), pp. 55-65
Persistent link: https://www.econbiz.de/10011422868
Cover Image
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
Cover Image
A generalized contagion process with an application to credit risk
Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011686792
Cover Image
Moments of renewal shot-noise processes and their applications
Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao - In: Scandinavian actuarial journal (2018) 8, pp. 727-752
Persistent link: https://www.econbiz.de/10011939737
Cover Image
Efficient simulation of clustering jumps with CIR intensity
Dassios, Angelos; Zhao, Hongbiao - In: Operations research 65 (2017) 6, pp. 1494-1515
Persistent link: https://www.econbiz.de/10011777769
Cover Image
Shot-noise cojumps : exact simulation and option pricing
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
Cover Image
A Skellam market model for loan prime rate options
Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - In: The journal of futures markets 42 (2022) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
Cover Image
Securitization of assets with payment delay risk : a financial innovation in the real estate market
Ma, Chao; Zhang, Hao; Zhao, Hongbiao - In: The journal of futures markets 43 (2023) 4, pp. 480-515
Persistent link: https://www.econbiz.de/10014293126
Cover Image
Ruin by dynamic contagion claims
Dassios, Angelos; Zhao, Hongbiao - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 93-106
In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion process, a generalisation of the Cox process and Hawkes process introduced by Dassios and Zhao (2011). We derive results for the infinite horizon model that are generalisations of the...
Persistent link: https://www.econbiz.de/10010576738
Cover Image
A Skellam market model for <i>loan prime rate</i> options
Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - In: Journal of Futures Markets 42 (2021) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10012632651