Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Jeff T.Y. Wong"'
Publikováno v:
Insurance: Mathematics and Economics. 82:152-166
This paper studies the potential (or resolvent) measures of spectrally negative Levy processes killed on exiting (bounded or unbounded) intervals, when the underlying process is observed at the arrival epochs of an independent Poisson process. Explic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6bfc50ad3ca6c8c333281c38440407d6
https://doi.org/10.1016/j.insmatheco.2018.07.004
https://doi.org/10.1016/j.insmatheco.2018.07.004
Publikováno v:
Journal of Applied Probability. 55:302-317
In this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a tempor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27e121ab878dfb3f50774a87c1670767
https://doi.org/10.1017/jpr.2018.18
https://doi.org/10.1017/jpr.2018.18
Autor:
Jeff T.Y. Wong, Eric C.K. Cheung
Publikováno v:
European Journal of Operational Research. 257:159-173
In this paper, we study the dual compound Poisson risk process, which is suitable for a business that pays expenses at a constant rate over time and earns random amount of income at random times. In contrast to the usual dividend barrier strategy (e.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfc1d8cc2c2591067ae9d507ce33af97
https://doi.org/10.1016/j.ejor.2016.09.018
https://doi.org/10.1016/j.ejor.2016.09.018
Autor:
Eric C.K. Cheung, Jeff T.Y. Wong
Publikováno v:
Insurance: Mathematics and Economics. 65:280-290
This paper studies the Parisian ruin problem first proposed by Dassios and Wu (2008a,b), where the Parisian ruin time is defined to be the first time when the surplus process has stayed below zero continuously for a pre-specified time length d . Both
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4cf7a0e6640124a54f541c71c5a71603
https://doi.org/10.1016/j.insmatheco.2015.10.001
https://doi.org/10.1016/j.insmatheco.2015.10.001