5 citations · 6 across the 4 of their papers we have counts for
7 papers
A Two-Phase Dynamic Contagion Model for COVID-19
Zezhun Chen, Angelos Dassios, Valerie Kuan +4
In this paper, we propose a continuous-time stochastic intensity model, namely, two-phase dynamic contagion process(2P-DCP), for modelling the epidemic contagion of COVID-19 and in…
Parisian excursion with capital injection for draw-down reflected Levy insurance risk process
Budhi Surya, Wenyuan Wang, Xianghua Zhao +1
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when i…
Efficient Estimation For The Cox Proportional Hazards Cure Model
Khandoker Akib Mohammad, Yuichi Hirose, Budhi Surya +1
While analysing time-to-event data, it is possible that a certain fraction of subjects will never experience the event of interest and they are said to be cured. When this feature…
Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Zbigniew Palmowski, Budhi Surya
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, als…
The Leland-Toft optimal capital structure model under Poisson observations
Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya +1
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard…
The Mixture of Markov Jump Processes: Monte Carlo Method and the EM Estimation
H. Frydman, B. A. Surya
This paper discusses tractable development and statistical estimation of a continuous time stochastic process with a finite state space having non-Markov property. The process is f…