On a reduced form credit risk model with common shock and regime switching (Q2447411): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2012.07.010
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+W2016534288
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
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+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
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+Option pricing and Esscher transform under regime switching
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+Aspects of risk theory
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+Analysis of time series subject to changes in regime
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+On Cox processes and credit risky securities
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+Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
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+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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+Q5706744
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+On a correlated aggregate claims model with thinning-dependence structure
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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+Ruin theory for a Markov regime-switching model under a threshold dividend strategy
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