Contagion modeling between the financial and insurance markets with time changed processes

Published 2017 View Full Article

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Title
Contagion modeling between the financial and insurance markets with time changed processes
Authors
Keywords
Self-exciting process, Cramer–Lundberg risk model, Stochastic optimal control, Time-changed Lévy process, Asset-liability management
Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 74, Issue -, Pages 63-77
Publisher
Elsevier BV
Online
2017-03-07
DOI
10.1016/j.insmatheco.2017.02.011

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