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Article: Cox risk model with variable premium rate and stochastic return on investment

TitleCox risk model with variable premium rate and stochastic return on investment
Authors
Xu, LYang, HWang, R
KeywordsCox risk model
Expected discounted penalty function
Optimal investment
Variable premium rate
Issue Date2014
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam
Citation
Journal of Computational and Applied Mathematics, 2014, v. 256, p. 52-64 How to Cite?
DOI: http://dx.doi.org/10.1016/j.cam.2013.07.016
Persistent Identifierhttp://hdl.handle.net/10722/198104
ISSN
0377-0427
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.858
ISI Accession Number ID
WOS:000325665900004

 

DC FieldValueLanguage
dc.contributor.authorXu, Len_US
dc.contributor.authorYang, Hen_US
dc.contributor.authorWang, Ren_US
dc.date.accessioned2014-06-25T02:47:09Z-
dc.date.available2014-06-25T02:47:09Z-
dc.date.issued2014en_US
dc.identifier.citationJournal of Computational and Applied Mathematics, 2014, v. 256, p. 52-64en_US
dc.identifier.issn0377-0427-
dc.identifier.urihttp://hdl.handle.net/10722/198104-
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam-
dc.relation.ispartofJournal of Computational and Applied Mathematicsen_US
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in Journal of Computational and Applied Mathematics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Computational and Applied Mathematics, 2014, v. 256, p. 52-64. DOI: 10.1016/j.cam.2013.07.016-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectCox risk model-
dc.subjectExpected discounted penalty function-
dc.subjectOptimal investment-
dc.subjectVariable premium rate-
dc.titleCox risk model with variable premium rate and stochastic return on investmenten_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.cam.2013.07.016en_US
dc.identifier.scopuseid_2-s2.0-84882340113-
dc.identifier.hkuros229405en_US
dc.identifier.volume256en_US
dc.identifier.spage52en_US
dc.identifier.epage64en_US
dc.identifier.isiWOS:000325665900004-
dc.publisher.placeNetherlands-
dc.identifier.issnl0377-0427-

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