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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
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A bivariate shot noise self-exciting process for insurance
Jang, Jiwook; Dassios, Angelos - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 524-532
Persistent link: https://www.econbiz.de/10010227969
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos; Jang, Ji-Wook - In: Finance and stochastics 7 (2003) 1, pp. 73-95
Persistent link: https://www.econbiz.de/10001724642
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On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
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Optimal excess-of-loss reinsurance and investment problem for insurers with loss aversion
Sun, Qingya; Rong, Ximin; Zhao, Hui - In: Theoretical economics letters 9 (2019) 4, pp. 1129-1151
Persistent link: https://www.econbiz.de/10012023209