Embedded options in insurance products and optimal policies for insurance portfolios under Markovian Regime switching models


Grant Data
Project Title
Embedded options in insurance products and optimal policies for insurance portfolios under Markovian Regime switching models
Principal Investigator
Dr Yang, Hailiang   (Principal investigator)
Co-Investigator(s)
Professor Yin George Gang   (Co-Investigator)
Duration
30
Start Date
2007-01-01
Completion Date
2009-06-30
Amount
511010
Conference Title
Presentation Title
Keywords
insurance, markovian Regime
Discipline
Others - Administrative, Business and Social Studies (Obsolete),Applied Mathematics
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
HKU 7426/06H
Grant Type
General Research Fund (GRF)
Funding Year
2006/2007
Status
Completed
All Publications
TitleAuthor(s)Issue DateViews
 
Ruin probabilities of a dual markov-modulated risk model
Journal:Communications in Statistics - Theory and Methods
2008
114
 
On differentiability of ruin functions under Markov-modulated models
Journal:Stochastic Processes and their Applications
2009
59