214 results in 91Bxx
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
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- Journal of Applied Probability / Volume 56 / Issue 4 / December 2019
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- 11 December 2019, pp. 1244-1268
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- December 2019
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A double obstacle model for pricing bi-leg defaultable interest rate swaps
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- European Journal of Applied Mathematics / Volume 31 / Issue 3 / June 2020
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- 04 September 2019, pp. 511-543
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Optimality of refraction strategies for a constrained dividend problem
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- Advances in Applied Probability / Volume 51 / Issue 3 / September 2019
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- 03 September 2019, pp. 633-666
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- September 2019
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On the equivalence of mixed and behavior strategies in finitely additive decision problems
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- Journal of Applied Probability / Volume 56 / Issue 3 / September 2019
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- 01 October 2019, pp. 810-829
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- September 2019
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On the total claim amount for marked Poisson cluster models
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- Advances in Applied Probability / Volume 51 / Issue 2 / June 2019
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- 07 August 2019, pp. 541-569
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- June 2019
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First passage problems for upwards skip-free random walks via the scale functions paradigm
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- Advances in Applied Probability / Volume 51 / Issue 2 / June 2019
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- 07 August 2019, pp. 408-424
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- June 2019
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PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES
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- The ANZIAM Journal / Volume 61 / Issue 2 / April 2019
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- 06 May 2019, pp. 161-194
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In search of a new economic model determined by logistic growth
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- European Journal of Applied Mathematics / Volume 31 / Issue 2 / April 2020
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- 27 March 2019, pp. 339-368
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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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- Journal of Applied Probability / Volume 55 / Issue 4 / December 2018
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- 16 January 2019, pp. 1272-1286
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- December 2018
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Transition to nestedness in multi- to one-dimensional optimal transport
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- European Journal of Applied Mathematics / Volume 30 / Issue 6 / December 2019
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- 01 October 2018, pp. 1220-1228
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On an optimal extraction problem with regime switching
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- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
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- 16 November 2018, pp. 671-705
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- September 2018
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The role of cooperation in spatially explicit economical systems
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- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
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- 16 November 2018, pp. 743-758
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- September 2018
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AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES
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- ASTIN Bulletin: The Journal of the IAA / Volume 48 / Issue 3 / September 2018
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- 03 July 2018, pp. 1157-1173
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- September 2018
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Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
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- Advances in Applied Probability / Volume 50 / Issue 2 / June 2018
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- 26 July 2018, pp. 347-372
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- June 2018
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General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
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- Journal of Applied Probability / Volume 55 / Issue 2 / June 2018
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- 26 July 2018, pp. 513-542
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- June 2018
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Structure-preserving equivalent martingale measures for ℋ-SII models
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 1-14
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- March 2018
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COUPLE MICROSCALE PERIODIC PATCHES TO SIMULATE MACROSCALE EMERGENT DYNAMICS
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- The ANZIAM Journal / Volume 59 / Issue 3 / January 2018
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- 30 January 2018, pp. 313-334
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The distribution of refracted Lévy processes with jumps having rational Laplace transforms
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 1167-1192
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- December 2017
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On the Parisian ruin of the dual Lévy risk model
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 1193-1212
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- December 2017
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Functional laws for trimmed Lévy processes
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- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
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- 15 September 2017, pp. 873-889
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- September 2017
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