Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 13 of 13.

Add to Quick Collection   All 13 Results

  • First
  • Previous
  • 1
  • Next
  • Last
Sort:
 Add All Items to Quick Collection
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310195
Description: Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing mo ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/267488
Description: We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs) ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/197395
Description: A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measu ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163378
Description: We investigate the default time of a firm when a stochastic discount factor is used so that both diffusion and regime switching risks are priced. We establish the relationship between the probability ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/134307
Description: We discuss the existence of an admissible investment strategy for any given consumption rate process in a Markov, regime-switching Black-Scholes-Merton economy. A martingale representation for a doubl ... More
Reviewed: Reviewed
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/1959.14/101495
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: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/209637
Description: In this paper we propose a semiparametric model to fit medical cost data with a proportion of zero cost values. In our model, the unknown cumulative cost is defined to be a function of the failure tim ... More
Reviewed: Reviewed
Authors: Zhang, Xin
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141056
Description: In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Ger ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/25302
Description: We estimate exponential sums of the form [equation omitted for formatting reasons] where f is a polynomial with integer cofficients, and ind n is the discrete logarithm of n modulo an odd prime p and ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/20149
Description: We show that the fractional parts of the ratios n/ω(n), n/aω(n), n/τ(n) and n/aτ(n), where a ≥ 2 is a fixed integer and, as usual, ω(n) and τ(n) denote the number of prime divisors and the total numbe ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1082859
Description: 10 page(s)
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1131060
Description: 9 page(s)
Reviewed: Reviewed
  • First
  • Previous
  • 1
  • Next
  • Last