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Ruin theory with Parisian delays
Ruin theory with Parisian delays This abstract describes a paper that studies Gerber-Shiu functions ... model driven by a spectrally negative Levy process of bounded variation. Bankruptcy;Dividends; 14594 ...- Authors: David Landriault, Jean-Francois Renaud, Xiaowen Zhou
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods
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Classical Risk Model with Multi-Layer Premium Rate
paper. In the two-layer case, an explicit expression is obtained for the joint distribution of the maximal ... maximal surplus up to ruin, the surplus immediately before ruin and the deficit at ruin. Such an expression ...- Authors: Xiaowen Zhou
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes
Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes This abstract ... jump-diffusion process and derives an explicit formula for the default probability. 4294993469 12/1/2012 12:00:00 ...- Authors: Bin Li, Xiaowen Zhou, Qihe Tang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments