37 Xue Yuan Road
Beihang University (BUAA)
Structural model; Regime switching; Jump-diffusion; Matrix Wiener-Hopf factorization; Esscher transform; CoCos; Deposit insurance; Fluid embedding; Markov chain
Robust portfolio decisions; Regime switching; Asymmetric dependence; Worst-case CVaR; R-vine copulas; Financial crisis.
Participating life insurance, Credit risk, Regime switching, Jump-diffusion, Matrix Wiener-Hopf factorization
Third degree risk, Risk lovers, Dual limited stop-loss insurance, Limited change-loss insurance, Limited dual change-loss insurance, Limited stop-loss insurance, Background risk
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