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Article
A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities
In this paper, we consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes that the intensities of the default times are driven by macro-...
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Article
Regime-switching shot-noise processes and longevity bond pricing
In this paper, we consider the valuation of longevity bonds under a regime-switching interest rate and a regimeswitching force of mortality model. The model assumes that the interest rate is driven by economic...
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Article
Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis
In this paper, we examine the weak-form efficient market hypothesis of crude oil futures markets by testing for the random walk behavior of prices. Using a method borrowed from statistical physics, we find tha...
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Article
Insurance Stock Returns and Economic Growth
In this paper, we propose to use insurance stock returns as an indicator of insurance activities, and apply a dynamic panel technique to examine the link between the role of insurance and economic growth. Our ...
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Article
Optimal Insurance Under the Insurer's VaR Constraint
In this paper, we impose the insurer's Value at Risk (VaR) constraint on Arrow's optimal insurance model. The insured aims to maximize his expected utility of terminal wealth, under the constraint that the ins...
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Article
An exact algorithm for the type-constrained and variable sized bin packing problem
In this paper, we introduce an additional constraint to the one-dimensional variable sized bin packing problem. Practically, some of items have to be packed separately in different bins due to their specific r...
