Economics - Research Publications
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ItemRegime switching in the relationship between equity returns and short-term interest rates in the UK(ELSEVIER SCIENCE BV, 2009-02-01)
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ItemFAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDS(PEETERS, 2010-11-01)
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ItemOptimal dynamic reinsurance( 2006)
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ItemDeviations from uncovered interest parity in Malaysia(Informa UK Limited, 2006-06-15)
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ItemSome Finite Time Ruin Problems(Cambridge University Press (CUP), 2007-09)ABSTRACT In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).
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ItemOptimal Dividends Under a Ruin Probability Constraint(Cambridge University Press (CUP), 2006-09)ABSTRACT We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.
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ItemSome Optimal Dividends Problems(Cambridge University Press (CUP), 2004-05)We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.