11 citations · 13 across the 4 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
math.PR2017
Precise deviations for Cox processes with a shot noise intensity
Zailei Cheng, Youngsoo Seol
We consider a Cox process with Poisson shot noise intensity which has been widely applied in insurance, finance, queue theory, statistic, and many other fields. Cox process is flex…
q-fin.MF2017★ 2 cited
Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate
Zailei Cheng
Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In th…