Search CORE

9 research outputs found

Convergence rates in matrix analytic models

Author: Foss S. G.
H⊘jgaard B.
Kalashnikov V.
Neuts M. F.
Nyberg H.
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Unintended Consequences of the Market Risk Requirement in Banking Regulation

Author: A Cadenillas
A Estrella
A Milne
A Milne
A Milne
A Milne
B H�jgaard
B H�jgaard
B H�jgaard
C A Meh
C C Heyde
C Furfine
D A Marshall
D L Iglehart
E Jokivuolle
F Heid
F T Furlong
G Gennotte
H S Bhamra
H S Bhamra
I Alfon
J Blum
J C Hull
J Dan?elsson
J Danielsson
J Grandell
J M Harrison
J Peek
Jussi Keppo
K A Froot
L Pelizzon
Leonard Kofman
M C Keeley
M Koehn
N C Framstad
N Roubini
P Artzner
P Embrechts
R Merton
R T Rockafellar
S Bhattacharya
S Peura
T Bj�rk
W H Fleming
Xu Meng
Y Kahane
Publication venue: 'Elsevier BV'
Publication date: 01/01/2010
Field of study

Classical, Singular, and Impulse Stochastic Control for the Optimal Dividend Policy when There is Regime Switching

Author: A Cadenillas
A Cadenillas
A Cadenillas
Abel Cadenillas
B H�jgaard
B H�jgaard
D Hackbarth
G Perez-Quiros
H Bhamra
H U Gerber
J Buffington
J Driffill
J Driffill
J Hamilton
J P D�camps
J Poterba
J Sass
L R Sotomayor
Luz R. Sotomayor
M Gertler
M Jeanblanc-Picqu�
M Miller
M Taksar
M Taksar
N B�uerle
Proof
R Elliott
R Radner
S Asmussen
S Asmussen
S Asmussen
S K Ho
T Bj�rk
T Choulli
T Choulli
T Honda
Then
V Ly Vath
X Guo
X Guo
X Guo
X Hu
X Y Zhou
Y Lu
Y Lu
Publication venue: 'Elsevier BV'
Publication date: 01/01/2008
Field of study

Urban division of space: A gender category!. The Danish case

Author: _____
_____
_____
_____
_____
Andersen H. S.
Borchorst A.
Borchorst A.
Caspersen H.
Franzén M.
Geertsen K.
Giddens A.
Gregory D.
Hayden D.
H⊘jgaard L.
Lefebvre H.
Markusen A. R.
McDowell L.
Pearce D.
Possing B.
Ross E.
Simonsen K.
Stimpson C. R.
Sveistrup P.
Tonboe J.
Vestbro D. U.
Young M.
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Optimal Risk Management with Costly Refinancing Opportunities

Author: A Barth
A Lokka
A V Skorokhod
Andrea Barth
Andrea Barth
B Dumas
B H�jgaard
D Revuz
I Karatzas
J R Franks
J.-C Rochet
J.-P D�scamps
L He
L Kruk
M C Jensen
M Harrison
M Jeanblanc-Picqu�
P Jostarndt
R F Bass
R Korn
R Radner
Santiago Moreno-Bromberg
Santiago Moreno-Bromberg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Optimal Dividend Policy When Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching

Author: A Cadenillas
A E Kyprianou
A L�kka
B De Finetti
B H�jgaard
F Avram
H Schmidli
J Buffington
J C Duan
J D Hamilton
J D Hamilton
J Jacod
J M Reinhard
J P D�camps
J Wei
J Wei
J Zhu
L R Sotomayor
M Belhaj
M Egami
M Jeanblanc-Picqu�
M R Pistorius
N B�euerle
R J Elliott
R Loeffen
S Asmussen
S Asmussen
S Boyarchenko
T Chan
X Guo
X Guo
Y Lu
Z Jiang
Z Jiang
Zhengjun Jiang
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

On Efficiency of Mean-Variance Based Portfolio Selection in DC Pension Schemes

Author: A J G Cairns
A J G Cairns
A Tversky
B H�jgaard
B �ksendal
C Holt
D Kahneman
D Li
D Luenberger
E Vigna
Elena Vigna
G Deelstra
H Jin
H Markowitz
H Markowitz
H Richardson
I Bajeux-Besnainou
J Campbell
J Gao
J Jurek
J Xiao
J Yong
J.-F Boulier
J.-F Boulier
J.-F Boulier
L Guiso
L Schlechter
M Canessa
M Chiu
M Di Giacinto
M Di Giacinto
N Hakansson
P Battocchio
P Devolder
P Jorion
R Bordley
R Gerrard
R Gerrard
R Gerrard
R Grauer
R Grauer
R Josa-Fombellida
R Merton
S Browne
S Haberman
S Haberman
T Bielecky
T Bj�rk
X
X Zhou
Z Wang
Publication venue: 'Elsevier BV'
Publication date: 01/01/2010
Field of study

Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy

Author: A E Kyprianou
A E Kyprianou
A E Kyprianou
A Lambert
A Sepp
A V Skorokhod
B De Finetti
B H�jgaard
B Li
C A Ramezani
C Yin
D Perry
D Revuz
Dan Tang
F Avram
F Avram
H Albrecher
H U Gerber
H U Gerber
J Abate
J Abate
J Cai
J Cai
J F Renaud
J Irb�ck
J M Harrison
J Paulsen
K C Yuen
L Alili
L Bo
L Bo
L N Andersen
L Nguyen-Ngoc
Lijun Bo
M Belhaj
M Jacobsen
M R Pistorius
M R Pistorius
O Kella
P E Protter
R A Doney
R Loeffen
R Loeffen
Renming Song
S Asmussen
S Asmussen
S G Kou
S G Kou
S G Kou
S Karlin
T Siegl
V Linetsky
W L Cooper
X Lin
X Xing
X Yang
X Zhou
Xuewei Yang
Y Chi
Y Chi
Yongjin Wang
Z Zhang
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

On a Connection between Froot-Stein and the De Finetti Optimal Dividends Models

core

core