Zobrazeno 1 - 10
of 114
pro vyhledávání: '"Kam Chuen Yuen"'
Publikováno v:
The Scientific World Journal, Vol 2015 (2015)
We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the expected discounted dividends u
Externí odkaz:
https://doaj.org/article/36ec7f2f858a494fb51163e8584deb15
Publikováno v:
Journal of Theoretical Probability. 35:2600-2621
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::633bc392240460609a6527ac01ccbffa
https://doi.org/10.1007/s10959-021-01143-z
https://doi.org/10.1007/s10959-021-01143-z
Publikováno v:
Web of Science
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2e3f22905074d578ea89bbebcb827c5
https://doi.org/10.4310/21-sii669
https://doi.org/10.4310/21-sii669
Publikováno v:
Australian & New Zealand Journal of Statistics. 63:579-605
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f9d19f5443b06dd0984faf36425c9426
https://doi.org/10.1111/anzs.12345
https://doi.org/10.1111/anzs.12345
Publikováno v:
ANZIAM Journal. 63:308-332
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime switching. Under the criterion of maximizing the expected discounted total utility of consumption, two methods, namely, the dynamic programming princip
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8605f7d282e85a8232b9a72de2adee52
https://doi.org/10.21914/anziamj.v63.14546
https://doi.org/10.21914/anziamj.v63.14546
Publikováno v:
Acta Mathematicae Applicatae Sinica, English Series. 37:847-857
In this paper, we consider a non-standard renewal risk model with dependent claim sizes, where an insurance company is allowed to invest his/her wealth in financial assets, leading to some stochastic investment log-returns described as a general adap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18205bab55b24f0da8b174809e15f582
https://doi.org/10.1007/s10255-021-1050-8
https://doi.org/10.1007/s10255-021-1050-8
Autor:
Yunpeng Zhou, Kam Chuen Yuen
Publikováno v:
Econometrics and Statistics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b4fd9c80af98aa5d2980b82e805bfaac
https://doi.org/10.1016/j.ecosta.2022.09.002
https://doi.org/10.1016/j.ecosta.2022.09.002
Publikováno v:
Communications in Statistics - Theory and Methods. 52:1012-1038
In many data analytic problems, repeated measurements with a large number of covariates are collected and conditional quantile modeling for such correlated data are often of significant interest, e...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ef72f39faa5e23df1c249fa192118e4
https://doi.org/10.1080/03610926.2021.1922701
https://doi.org/10.1080/03610926.2021.1922701
Publikováno v:
J Appl Stat
In this paper, we propose a new kind of multivariate t distribution by allowing different degrees of freedom for each univariate component. Compared with the classical multivariate t distribution, it is more flexible in the model specification that c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cbc1f828907fbd97698a621c78b99e6e
https://doi.org/10.1080/02664763.2021.1913106
https://doi.org/10.1080/02664763.2021.1913106
Publikováno v:
Insurance: Mathematics and Economics. 97:1-6
Consider a renewal risk model in which claim sizes and interarrival times correspondingly form a sequence of independent, identically distributed, and nonnegative random pairs with a generic pair ( X , θ ) . Chen and Yuen (2012) studied precise larg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cf477c4f7706825b72eed18d6182c04
https://doi.org/10.1016/j.insmatheco.2020.12.003
https://doi.org/10.1016/j.insmatheco.2020.12.003