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

@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
+Normal rank
@@ Property / cites work @@
+Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
+Normal rank
@@ Property / cites work @@
+Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
+Normal rank
@@ Property / cites work @@
+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4367948
@@ Property / cites work: Q4367948 / rank @@
+Normal rank
@@ Property / cites work @@
+On a correlated aggregate claims model with thinning-dependence structure
+Normal rank
@@ Property / cites work @@
+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin theory for a Markov regime-switching model under a threshold dividend strategy
+Normal rank