Defaultable game options in a hazard process model.
Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Frank B. Knight (1986)
Séminaire de probabilités de Strasbourg
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Wang, Lei, Jin, Zhiming (2009)
Journal of Applied Mathematics and Decision Sciences
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Krzysztof Szajowski (2010)
Banach Center Publications
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The following problem in risk theory is considered. An insurance company, endowed with an initial capital a > 0, receives insurance premiums and pays out successive claims from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution...
Stefan Ankirchner, Peter Imkeller (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Jean-Michel Bismut (1978)
Bulletin de la Société Mathématique de France
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Concepción Arenas Solá (1990)
Trabajos de Estadística
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In this note we give a proof of the fact that the extremal elements of the set of randomized stopping times are exactly the stopping times.
Gerardo Sanz Sáiz (1986)
Extracta Mathematicae
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