Macquarie University Home Page Macquarie University ResearchOnline

Showing items 1 - 15 of 28.

Add to Quick Collection   All 28 Results

Sort:
 Add All Items to Quick Collection
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272702
Description: We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an op... More
Reviewed:Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/223561
Description: The optimal dividend problem is a classic problem in corporate finance though an early contribution to this problem can be traced back to the seminal work of an actuary, Bruno De Finetti, in the late ... More
Reviewed:Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215040
Description: This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. Thi... More
Full Text: Full Text
Reviewed:Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230866
Description: This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial mode... More
Reviewed:Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/215368
Description: We develop a new approach to ruin theory for a multi-line insurance business when the risk processes for correlated insurance policies are described by a multivariate diffusion process. A relation bet... More
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172305
Description: We discuss the asset allocation problem in the important class of parametric non-linear time series models called the threshold autoregressive model in (J. Roy. Statist. Soc. Ser. A 1977; 140:34-35; P... More
Reviewed:Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212848
Description: In this paper we consider the optimal dividend strategy under the diffusion model with regime switching. In contrast to the classical risk theory, the dividends can only be paid at the arrival times o... More
Reviewed:Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212851
Description: In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time.... More
Reviewed:Reviewed
Date: 2011
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/283158
Description: In this paper, we consider the optimal dividend strategy for an insurer whose surplus process is modeled by the classical compound Poisson risk model modulated by an observable continuous-time Markov ... More
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135675
Description: We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partia... More
Reviewed:Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272701
Description: We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utilit... More
Reviewed:Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101495
Description: We develop a new exact filter when a hidden Markov chain influences both the sizes and times of a marked point process. An example would be an insurance claims process, where we assume that both the s... More
Full Text: Full Text
Reviewed:Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272682
Description: In this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environm... More
Reviewed:Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272720
Description: In this article, we consider the optimal reinsurance and dividend strategy for an insurer. We model the surplus process of the insurer by the classical compound Poisson risk model modulated by an obse... More
Reviewed:Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138678
Description: We study the pricing of an option when the price dynamic of the underlying risky asset is governed by a Markov-modulated geometric Brownian motion. We suppose that the drift and volatility of the unde... More
Reviewed:Reviewed