Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 7 of 7.

Add to Quick Collection   All 7 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/1959.14/302958
Description: We discuss a general problem of optimal strategies for insurance, consumption and investment in a changing economic environment described by a continuous-time regime switching model. We consider the s ... More
Reviewed: Reviewed
Authors: Sofronov, Georgy
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216703
Description: We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an opti ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174857
Description: This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136019
Description: We introduce a model to discuss an optimal investment problem of an insurance company using a game theoretic approach. The model is general enough to include economic risk, financial risk, insurance r ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143432
Description: A discrete-time control problem of a finite-state hidden Markov chain partially observed in a fractional Gaussian process is discussed using filtering. The control problem is then recast as a separate ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163441
Description: In this paper, we study utility-based indifference pricing and hedging of a contingent claim in a continuous-time, Markov, regime-switching model. The market in this model is incomplete, so there is m ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/348044
Description: This paper considers a risk-based approach for indifference valuation of contingent claims in the context of a continuous-time stochastic volatility model. Since the market in the model is incomplete ... More
Reviewed: Reviewed
  • First
  • Previous
  • 1
  • Next
  • Last