Diana Dorobantu

Available identifiers

Publication	Date of Publication	Type
A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations	2024-04-29	Paper
First passage time density of an Ornstein–Uhlenbeck process with broken drift	2022-04-22	Paper
Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities	2020-08-28	Paper
Joint law of an Ornstein–Uhlenbeck process and its supremum	2020-07-22	Paper
A model-point approach to indifference pricing of life insurance portfolios with dependent lives	2019-12-19	Paper
Risk assessment using suprema data	2017-10-12	Paper
An extension of Davis and Lo's contagion model	2014-02-08	Paper
https://portal.mardi4nfdi.de/entity/Q3145202	2012-12-19	Paper
The density of a passage time for a renewal-reward process perturbed by a diffusion	2012-11-15	Paper
https://portal.mardi4nfdi.de/entity/Q2888095	2012-05-30	Paper
First passage time law for some Lévy processes with compound Poisson: existence of a density	2011-12-28	Paper
Optimal strategies in a risky debt context	2009-09-16	Paper
A class of optimal stopping problems for Markov processes	2008-09-29	Paper
Risky debt and optimal coupon policy and other optimal strategies	2008-06-11	Paper
Arr\^et optimal pour les processus de Markov forts et les fonctions affines	2008-04-22	Paper
Optimal stopping for L\'evy processes and affine functions	2008-04-21	Paper

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