Stochastic compounding models for continuous uniform cash flows arising in risk management

DOI10.1080/09720510.2008.10701312zbMATH Open1154.91494OpenAlexW3121499621MaRDI QIDQ3602353FDOQ3602353

Authors: Constantinos Artikis, P. T. Artikis, J. I. Moshakis 

Publication date: 12 February 2009

Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720510.2008.10701312

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Mathematics Subject Classification ID

Cited In (7)

• Title not available (Why is that?)
• Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum
• Risk management operations described by a stochastic discounting model incorporating a random sum of cash flows and a random maximum of recovery times
• Continuous-time stochastic modelling of capital adequacy ratios for banks
• The optimal cash holding models for stochastic cash management of continuous time
• Stochastic differential equations for compounded risk reserves
• On the decomposition of stochastic discounted cash flows

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