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Calibration of parametric CAT bonds : a case study of Mexican earthquakes

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Optimal reinsurance and dividend payment strategies

Pechlivanides, Pantelis - 1975

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Approximation of optimal reinsurance and dividend payout policies

Bäuerle, Nicole - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 99-113

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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 207-215

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Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 198-217

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A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10012128012