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Article: A regime-switching model with jumps and its application to bond pricing and insurance

TitleA regime-switching model with jumps and its application to bond pricing and insurance
Authors
Dong, YWang, GYuen, KC
Keywordsaggregate accumulated claims
Markov chain
regime-switching shot noise process
zero-coupon bond
Issue Date2016
Citation
Stochastics and Dynamics, 2016 How to Cite?
DOI: http://dx.doi.org/10.1142/S0219493716500234
Persistent Identifierhttp://hdl.handle.net/10722/225673
ISSN
0219-4937
2023 Impact Factor: 0.8
2023 SCImago Journal Rankings: 0.738
ISI Accession Number ID
WOS:000388084800006

 

DC FieldValueLanguage
dc.contributor.authorDong, Y-
dc.contributor.authorWang, G-
dc.contributor.authorYuen, KC-
dc.date.accessioned2016-05-20T08:09:58Z-
dc.date.available2016-05-20T08:09:58Z-
dc.date.issued2016-
dc.identifier.citationStochastics and Dynamics, 2016-
dc.identifier.issn0219-4937-
dc.identifier.urihttp://hdl.handle.net/10722/225673-
dc.languageeng-
dc.relation.ispartofStochastics and Dynamics-
dc.subjectaggregate accumulated claims-
dc.subjectMarkov chain-
dc.subjectregime-switching shot noise process-
dc.subjectzero-coupon bond-
dc.titleA regime-switching model with jumps and its application to bond pricing and insurance -
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.doi10.1142/S0219493716500234-
dc.identifier.scopuseid_2-s2.0-84959229887-
dc.identifier.hkuros257807-
dc.identifier.eissn1793-6799-
dc.identifier.isiWOS:000388084800006-
dc.identifier.issnl0219-4937-

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