Andreas E. Kyprianou

University of Bath

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

704

SSRN CITATIONS

1

CROSSREF CITATIONS

9

Scholarly Papers (4)

1.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 466 (115,898)
Citation 5

Abstract:

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Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

2.

A Note on Scale Functions and the Time Value of Ruin for Lévy Insurance Risk Processes

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 18 Posted: 29 Oct 2009
Enrico Biffis and Andreas E. Kyprianou
Imperial College Business School and University of Bath
Downloads 109 (460,942)

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3.

Optimal Dividends in the Dual Model Under Transaction Costs

Insurance: Mathematics and Economics, Vol. 54, 2014
Number of pages: 22 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 69 (611,729)

Abstract:

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dual model, dividends, impulse control, spectrally positive Levy processes, scale functions

4.

On Optimal Dividends in the Dual Model

Astin Bulletin, vol. 43, no. 3, 2013, pp 359 - 372
Number of pages: 13 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 60 (657,086)

Abstract:

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Dual model, dividends, capital injections, spectrally positive Levy processes, scale functions